Liquidity flows in interbank networks
| Autor: | Mario Eboli, Fabio Castiglionesi |
|---|---|
| Přispěvatelé: | Department of Finance, Research Group: Finance |
| Jazyk: | angličtina |
| Rok vydání: | 2018 |
| Předmět: |
040101 forestry
Economics and Econometrics 050208 finance 05 social sciences Flow networks Interbank network Liquidity coinsurance Flow networks Network structure Liquidity crisis Financial system 04 agricultural and veterinary sciences Liquidity coinsurance Liquidity risk Market liquidity Interbank network Accounting 0502 economics and business Systemic risk 0401 agriculture forestry and fisheries Business Empirical evidence Finance Credit risk |
| Zdroj: | Review of Finance, 22(4), 1291-1334. OXFORD UNIV PRESS INC |
| ISSN: | 1572-3097 |
| Popis: | This article characterizes the interbank deposit network as a flow network that is able to channel liquidity flows among banks. These flows are beneficial, allowing banks to cope with liquidity risk. First, we analyze the efficiency of three network structures: star-shaped, complete, and incomplete in transferring liquidity among banks. The star-shaped interbank network achieves the complete coverage of liquidity risk with the smallest amount of interbank deposits held by each bank. This result implies that the star-shaped network is most resilient to systemic risk. Second, we analyze the banks' decentralized interbank deposit decisions for a given network structure. We show that all network structures can generate an inefficiently low amount of interbank deposits. However, the star-shaped network induces banks to hold an amount of interbank deposits that is the closest to the efficient level. These results provide a rationale for consistent empirical evidence on sparse and centralized interbank networks. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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