Interbank market integration under asymmetric information

Arbeitspapier

While domestic interbank markets are often considered to work in an efficient way, cross-country bank lending appears to be subjected to market imperfections leading to persistent interest rate differentials. In a model where banks need to cope with liquidity shocks by borrowing or by liquidating assets, we study the scope for international interbank market integration with unsecured lending when cross-country information is noisy. We find that an equilibrium with integrated markets need not always exist, and that it coexists with one characterized by segmentation. A repo market reduces interest rate spreads and improves upon the segmentation equilibrium. However, it may destroy the unsecured integrated equilibrium.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: ECB Working Paper ; No. 74

Klassifikation und Themen

• Klassifikation: Wirtschaft ; International Financial Markets ; Financial Institutions and Services: General ; Financial Aspects of Economic Integration
• Thema: Asymmetric information ; Banking theory ; financial integration ; Interbank markets

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Freixas, Xavier ; Holthausen, Cornelia
• Ereignis: Veröffentlichung
• (wer): European Central Bank (ECB)
• (wo): Frankfurt a. M.
• (wann): 2001

Weitere Informationen

• Handle: http://hdl.handle.net/10419/152508
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ