Articles liés à Interbank Lending, Credit-Risk Premia, and Collateral

Interbank Lending, Credit-Risk Premia, and Collateral - Couverture souple

Heider, Florian; Hoerova, Marie

 
9781249505310: Interbank Lending, Credit-Risk Premia, and Collateral
Couverture souple
ISBN 10 : 1249505313 ISBN 13 : 9781249505310
Editeur : Bibliogov, 2012

Synopsis

We study the functioning of secured and unsecured interbank markets in the presence of credit risk. The model generates empirical predictions that are in line with developments during the 2007-09 financial crisis. Interest rates decouple across secured and unsecured markets following an adverse shock to credit risk. The scarcity of underlying collateral may amplify the volatility of interest rates in secured markets. We use the model to discuss various policy responses to the crisis.

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Éditeur
Bibliogov
Date d'édition
2012
Langue
anglais
ISBN 10 
1249505313
ISBN 13 
9781249505310
Reliure
Broché
Nombre de pages
42
Coordonnées du fabricant
non disponible
Personne responsable
non disponible