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Liquidity hoarding and interbank market spreads: the role of counterparty risk

Heider, Florian; Hoerova, Marie; Holthausen, Cornelia - 2009

We study the functioning and possible breakdown of the interbank market in the presence of counterparty risk. We allow banks to have private information about the risk of their assets. We show how banks’ asset risk affects funding liquidity in the interbank market. Several interbank market...

Persistent link: https://www.econbiz.de/10011605172

Coordination Frictions and The Financial Crisis

Gautier, Pieter A. - 2009

In this note I argue that the desirability of fiscal policy in response to the current crisis depends on whether one views the current crisis as a temporary deviation from a unique equilibrium or as a bad equilibrium out of multiple equilibria. The paper presents a simple Diamond (1982) type of...

Persistent link: https://www.econbiz.de/10010326063

The collapse of a country

Daníelsson, Jón - 2009

Persistent link: https://www.econbiz.de/10014306478

Big elephants in small ponds: Do large traders make financial markets more aggressive?

Bannier, Christina E. - 2004

Market participants often suspect that large traders have a disproportionate effect on financial markets, increasing the aggressiveness of market responses. Prior studies have shown that the impact of a large trader on a currency crisis depends positively on his size and informational position....

Persistent link: https://www.econbiz.de/10010266914

Private and public information in self-fulfilling currency crises

Metz, Christina E. - 2000

This paper analyzes the implications of currency crises in a model with unique equilibrium. Starting from a typical multiple equilibria model with self-fulfilling expectations we introduce noisy information, following Morris/Shin (1999). Under certain conditions for the noise parameter, all...

Persistent link: https://www.econbiz.de/10010301769

Banking and balance of payments crises: On possible causes of the twin crises

Buch, Claudia M.; Heinrich, Ralph P. - 1998

Banking and balance of payments crises often happen quite simultaneously. We show that the impact of an expected devaluation on the net worth of commercial banks with a short open foreign exchange position speeds up the timing of a balance of payments crisis. We employ an asymmetric information...

Persistent link: https://www.econbiz.de/10010275494

Does Transparency of Central Banks Produce Multiple Equilibria on Currency Markets?

Lindner, Axel - 2003

A recent strand of literature (see Morris and Shin 2001) shows that multiple equilibria in models of markets for pegged currencies vanish if there is slightly diverse information between traders. It is known that this approach works only if there is not too precise common knowledge in the...

Persistent link: https://www.econbiz.de/10010316391

Social relationships and trust

Binzel, Christine; Fehr, Dietmar - 2010

While social relationships play an important role for individuals to cope with missing market institutions, they also limit individuals' range of trading partners. This paper aims at understanding the determinants of trust at various social distances when information asymmetries are present....

Persistent link: https://www.econbiz.de/10010270830

Social relationships and trust

Binzel, Christine; Fehr, Dietmar - 2010

Persistent link: https://www.econbiz.de/10010271364

Securitization and moral hazard: Evidence from credit score cutoff rules

Bubb, Ryan; Kaufman, Alex - 2011

research has hypothesized that these cutoff rules result from a securitization rule of thumb. Under this theory, an observed … model that rationalizes such an origination rule of thumb. Under this alternative theory, jumps in default are not evidence … securitization rule-of-thumb theory but consistent with the origination rule-of-thumb theory. There are jumps in the number of loans …

Persistent link: https://www.econbiz.de/10010286944

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