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首页> 外文期刊>Journal of financial economics >Liquidity hoarding and interbank market rates: The role of counterparty risk
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Liquidity hoarding and interbank market rates: The role of counterparty risk

机译：流动性ho积和银行间市场利率：交易对手风险的作用

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摘要

We develop a model of interbank lending and borrowing with counterparty risk. The model has two key ingredients. First, liquidity in the banking sector is endogenous, so there is an opportunity cost of holding liquid assets. Second, banks are privately informed about the risk of their long-term assets, which can lead to adverse selection and high interest rates in the interbank market. We identify a novel form of a market break-down, which can lead to liquidity hoarding. It arises because adverse selection in the interbank market changes the opportunity cost of holding liquidity. We use the model to shed light on developments in interbank markets prior to and during the 2007-09 financial crisis, as well as the effectiveness of policy interventions aimed at restoring interbank market activity. (C) 2015 Elsevier B.V. All rights reserved.
机译：我们建立了具有交易对手风险的银行间同业拆借模型。该模型具有两个关键要素。首先，银行部门的流动性是内生的，因此持有流动资产存在机会成本。其次，银行会被私人告知其长期资产的风险，这可能会导致银行间市场的逆向选择和高利率。我们确定了市场崩溃的一种新颖形式，它可能导致流动性ho积。这是因为银行间市场的逆向选择改变了持有流动性的机会成本。我们使用该模型来揭示2007-09年金融危机之前和期间银行间市场的发展情况，以及旨在恢复银行间市场活动的政策干预措施的有效性。 （C）2015 Elsevier B.V.保留所有权利。

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