Multiple equilibrium overnight rates in a dynamic interbank market game

Jens Tapking

Finance from EconWPA

Abstract: We analyse a two period model of the interbank market, i.e. the market at which banks trade liquidity. We assume that banks do not take the interbank interest rate as given, but multilaterally negotiate on interest rates and transaction volumes. The solution concept applied is the Shapley value. We show that there is a multiplicity of average equilibrium interest rates of the Þrst period so that the average interest rate in this period does not convey any information on the expected liquidity situation at the interbank market.

JEL-codes: G (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin
Date: 2004-09-07
Note: Type of Document - pdf
View list of references

Downloads: (external link)
http://129.3.20.41/eps/fin/papers/0409/0409018.pdf (application/pdf)

Related works:
Working Paper: Multiple equilibrium overnight rates in a dynamic interbank market game (2003)
Working Paper: Multiple equilibrium overnight rates in a dynamic interbank market game (2004)
Journal Article: Multiple equilibrium overnight rates in a dynamic interbank market game (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpfi:0409018

Access Statistics for this paper

More papers in Finance from EconWPA
Series data maintained by EconWPA ().