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
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Englisch
- Erschienen in
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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
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Objekttyp
- Arbeitspapier
Beteiligte
- Acharya, Viral V.
- Skeie, David
- Federal Reserve Bank of New York
Entstanden
- 2011