Systemic illiquidity in the interbank network

Gerardo Ferrara, Sam Langfield, Zijun Liu and Tomohiro Ota

Quantitative Finance, 2019, vol. 19, issue 11, 1779-1795

Abstract: We study systemic illiquidity using a unique dataset on banks' daily cash flows, short-term interbank funding and liquid asset buffers. Failure to roll-over short-term funding or repay obligations when they fall due generates an externality in the form of systemic illiquidity. We simulate a model in which systemic illiquidity propagates in the interbank funding network over multiple days. In this setting, systemic illiquidity is minimised by a macroprudential policy that skews the distribution of liquid assets towards banks that are important in the network.

Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
http://hdl.handle.net/10.1080/14697688.2019.1612083 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Systemic illiquidity in the interbank network (2018)
Working Paper: Systemic illiquidity in the interbank network (2017)
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: https://EconPapers.repec.org/RePEc:taf:quantf:v:19:y:2019:i:11:p:1779-1795

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RQUF20

DOI: 10.1080/14697688.2019.1612083

Access Statistics for this article

Quantitative Finance is currently edited by Michael Dempster and Jim Gatheral

More articles in Quantitative Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().