Artikel
The Link Between Incomplete Information on the Interbank Network and Counterparty Risk
This paper describes a model in which a network of interbank loans leads to a severe amplification of the previously unanticipated insolvency of one bank. Banks that cannot rule out an indirect hit react by selling assets and hoarding liquidity. While this potentially lowers illiquidity risks, it depresses market liquidity and prices. This leads to a negative externality by which sales to acquire liquidity simultaneously lead to lower global sale proceeds and thus to a greater number of insolvencies inducing deadweight losses. Thus, the distribution of information on the network has a direct impact on welfare by itself.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Credit and Capital Markets – Kredit und Kapital ; ISSN: 2199-1235 ; Volume: 52 ; Year: 2019 ; Issue: 2 ; Pages: 213-227
- Klassifikation
-
Wirtschaft
Financial Crises
Portfolio Choice; Investment Decisions
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Bankruptcy; Liquidation
- Thema
-
Banks
Cash-in-the-Market Pricing
Counterparty risk
Incomplete information
Liquidity
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Förster, Daniel
Walther, Martin
- Ereignis
-
Veröffentlichung
- (wer)
-
Duncker & Humblot
- (wo)
-
Berlin
- (wann)
-
2019
- DOI
-
doi:10.3790/ccm.52.2.213
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Förster, Daniel
- Walther, Martin
- Duncker & Humblot
Entstanden
- 2019
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