EconPapers    
Economics at your fingertips  
 

Interbank loans, collateral and modern monetary policy

Marcin Wolski and Michiel van de Leur ()

No 1959, Working Paper Series from European Central Bank

Abstract: This study develops a novel agent-based model of the interbank market with endogenous credit risk formation mechanisms. We allow banks to exchange funds through unsecured and secured transactions in order to facilitate the flow of funds to the most profitable investment projects. Our model confirms basic stylized facts on (i) bank balance sheet distributions, (ii) interbank interest rates and (iii) interbank lending volumes, for both the secured and the unsecured market segments. We also find that network structures within the secured market segment are characterized by the presence of dealer banks, while we do not observe similar patterns in the unsecured market. Finally, we illustrate the usefulness of our model for analysing a number of policy scenarios. JEL Classification: C63, E17, E47, E58

Keywords: agent-based models; collateral; interbank lending; networks; repo (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ban, nep-cmp and nep-net
Date: 2016-09
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1959.en.pdf (application/pdf)

Related works:
Journal Article: Interbank loans, collateral and modern monetary policy (2016) Downloads
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:ecb:ecbwps:20161959

Access Statistics for this paper

More papers in Working Paper Series from European Central Bank 60640 Frankfurt am Main, Germany. Contact information at EDIRC.
Series data maintained by Official Publications ().

 
Page updated 2017-11-11
Handle: RePEc:ecb:ecbwps:20161959