Money Market Liquidity under Currency Board – Empirical Investigations for Bulgaria [PDF]
Over the last years the efficiency and existence of an automatic adjustment mechanism of currency boards are in the centre of economic discussions. This study is intended to provide an empirical analysis of the volume and interest rate of unsecured ...
Petar Chobanov, Nikolay Nenovsky
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The intraday price of money: evidence from the e-MID market [PDF]
We present a simple model, where intraday and overnight interest rates are linked by a no-arbitrage argument. The hourly interest rate is shown to be a function of the intraday term structure of the overnight rate.
Angelo Baglioni, Andrea Monticini
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Assessing financial contagion in the interbank market: Maximum entropy versus observed interbank lending patterns [PDF]
Interbank markets allow banks to cope with specific liquidity shocks. At the same time, they may be a channel allowing a bank default to spread to other banks.
Paolo Emilio Mistrulli
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The role of banks in the Brazilian Interbank Market: Does bank type matter? [PDF]
This paper presents an empirical analysis of the Brazilian interbank network structure. The Brazilian interbank market clearly presents a topology that is compatible to the free-scale networks.
Benjamin M. Tabak, Daniel O. Cajueiro
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Bank Market Structure, Systemic Risk, and Interbank Market Breakdowns [PDF]
This paper explores theoretically the implications of bank market structure and banking system risks concentration for the functioning of interbank markets.
Marcella Lucchetta
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The Islamic Inter bank Money Market and a Dual Banking System : The Malaysian Experience [PDF]
This paper examines the operation of an Islamic Interbank Money market (IIMM), within a dual banking system. The paper argues that even though an Islamic Money market operates in an interest free environment and trades shariah compliant instruments, many
Bacha, Obiyathulla I.
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Funding liquidity risk: definition and measurement [PDF]
In this paper we propose definitions of funding liquidity and funding liquidity risk and present a simple, yet intuitive, measure of funding liquidity risk based on data from open market operations.
Nikolaou, Kleopatra, Drehmann, Mathias
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Systemic risk prevention policies targeting systemically important banks: Does clustering pattern matter? [PDF]
PLoS One, 2023 Zhu B, Hu X, Deng Y, Lin R.
europepmc +1 more source
Liquidity crunch in the interbank market: is it credit or liquidity risk, or both? [PDF]
The interplay between liquidity and credit risks in the interbank market is analyzed. Banks are hit by idiosyncratic random liquidity shocks. The market may also be hit by a bad news at a future date, implying the insolvency of some participants and ...
Angelo Baglioni
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An economic model of contagion in interbank lending markets [PDF]
This paper considers the stability of a financial system in which heterogenous banks interact through a lending market. We analyse a discrete time model in which households and banks are located on a circular city.
Dan Ladley
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