Multiple equilibrium overnight rates in a dynamic interbank market game

Jens Tapking

Finance from University Library of Munich, Germany

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)
Date: 2004-09-07
New Economics Papers: this item is included in nep-fin
Note: Type of Document - pdf
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Related works:
Journal Article: Multiple equilibrium overnight rates in a dynamic interbank market game (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0409018

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