Arbeitspapier

A model of liquidity hoarding and term premia in inter-banks markets

Financial crises are associated with reduced volumes and extreme levels of rates for term inter-bank loans, reflected in the one-month and three-month Libor. We explain such stress by modeling leveraged banks' precautionary demand for liquidity. Asset shocks impair a bank's ability to roll over debt because of agency problems associated with high leverage. In turn, banks hoard liquidity and decrease term lending as their rollover risk increases over the term of the loan. High levels of short-term leverage and illiquidity of assets lead to low volumes and high rates for term borrowing. In extremis, inter-bank markets can completely freeze.

Sprache
Englisch

Erschienen in
Series: Staff Report ; No. 498

Klassifikation
Wirtschaft
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Financial Crises
Interest Rates: Determination, Term Structure, and Effects
Thema
inter-bank lending
financial crisis
precautionary demand
rollover risk
Libor-OIS spread
Finanzmarktkrise
Geldmarkt
Bankenliquidität
Zinsstruktur
Risiko
LIBOR Market Modell

Ereignis
Geistige Schöpfung
(wer)
Acharya, Viral V.
Skeie, David
Ereignis
Veröffentlichung
(wer)
Federal Reserve Bank of New York
(wo)
New York, NY
(wann)
2011

Handle
Letzte Aktualisierung
20.09.2024, 08:24 MESZ

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.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Acharya, Viral V.
  • Skeie, David
  • Federal Reserve Bank of New York

Entstanden

  • 2011

Ähnliche Objekte (12)