Liquidity risk and contagion in interbank markets: a presentation of Allen and Gale Model

El Mehdi Ferrouhi and Abderrassoul Lehadiri

MPRA Paper from University Library of Munich, Germany

Abstract: The paper analyzes liquidity risk and contagion in interbank markets. The aim of the research is to define the different structures of interbank markets and structures that allow the better allocation of liquidity and thus avoid the spread of crisis in the whole system. For this purpose, this paper examines Allen and Gale model. This model is the pioneer model in the management of liquidity risk in the interbank market. We will then analyze the mechanisms that explain the spread of liquidity risk in the banking system both at national and international level.

Keywords: liquidity; risk; interbank market; structure; Morocco; financial crisis (search for similar items in EconPapers)
JEL-codes: G21 G32 (search for similar items in EconPapers)
Date: 2013-02-21
New Economics Papers: this item is included in nep-ara and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:59852

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