Liquidity hoarding and interbank market spreads: the role of counterparty risk

Florian Heider, Marie Hoerova and Cornelia Holthausen ()

No 1126, Working Paper Series from European Central Bank

Abstract: We study the functioning and possible breakdown of the interbank market in the presence of counterparty risk. We allow banks to have private information about the risk of their assets. We show how banks JEL Classification: G01, G21, D82

Keywords: asymmetric information; counterparty risk; financial crisis; interbank market; liquidity (search for similar items in EconPapers)
Date: 2009-12
New Economics Papers: this item is included in nep-ban, nep-cba, nep-cta, nep-mon and nep-rmg
Note: 276127
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Citations: View citations in EconPapers (192)

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https://www.ecb.europa.eu//pub/pdf/scpwps/ecbwp1126.pdf (application/pdf)

Related works:
Working Paper: Liquidity Hoarding and Interbank Market Spreads: The Role of Counterparty Risk (2010)
Working Paper: Liquidity hoarding and interbank market spreads: the role of counterparty risk (2009)
Working Paper: Liquidity Hoarding and Interbank Market Spreads: The Role of Counterparty Risk (2009)
Working Paper: Liquidity Hoarding and Interbank Market Spreads: The Role of Counterparty Risk (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20091126

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