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 ultilaterally 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)
Date: 2004-09-16
Note: Type of Document - pdf
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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)
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpfi:0409042

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