Relevant bibliographies by topics / Interbank markets

Contents

  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
  6. Reports

Academic literature on the topic 'Interbank markets'

Author: Grafiati
Published: 14 March 2023

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Journal articles on the topic "Interbank markets"

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Tianyi, Ren, and Tajul Ariffin Masron. "A Case Study of Interbank Deposit Fund Market: Sustainable Emerging Markets in China." Malaysian Journal of Social Sciences and Humanities (MJSSH) 7, no. 7 (July 29, 2022): e001712. http://dx.doi.org/10.47405/mjssh.v7i7.1712.

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The first batch of interbank deposit funds was issued in China on December 3, 2021, and three batches of interbank deposit funds were issued in China as of May 2022, totaling 17 funds. As an emerging market, the interbank deposit fund market is a gap area of academic research. This paper analyzes the background of the development of the interbank deposit fund market in China, summarizes the current development of interbank deposit funds based on relevant data, introduces the specific profit model of interbank deposit funds, and explains their main advantages over short-dated bond funds and money funds. At the same time, this paper also discusses the main constraints faced by interbank depository funds, proposes corresponding solutions, and looks into the future development direction of China's interbank depository fund market. The above research plays a role in the sustainable development of the interbank depository fund market.
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Demiralp, Selva, Brian Preslopsky, and William C. Whitesell. "Overnight Interbank Loan Markets." Finance and Economics Discussion Series 2004, no. 29 (May 2004): 1–51. http://dx.doi.org/10.17016/feds.2004.29.

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Demiralp, Selva, Brian Preslopsky, and William Whitesell. "Overnight interbank loan markets." Journal of Economics and Business 58, no. 1 (January 2006): 67–83. http://dx.doi.org/10.1016/j.jeconbus.2005.04.003.

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Tedeschi, Gabriele, Amin Mazloumian, Mauro Gallegati, and Dirk Helbing. "Bankruptcy Cascades in Interbank Markets." PLoS ONE 7, no. 12 (December 31, 2012): e52749. http://dx.doi.org/10.1371/journal.pone.0052749.

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Karimi, Fariba, and Matthias Raddant. "Cascades in Real Interbank Markets." Computational Economics 47, no. 1 (November 5, 2014): 49–66. http://dx.doi.org/10.1007/s10614-014-9478-z.

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Alfarano, Simone, Daniel Fricke, Thomas Lux, and Matthias Raddant. "Network Approaches to Interbank Markets: Foreword." Computational Economics 47, no. 1 (February 15, 2015): 1–2. http://dx.doi.org/10.1007/s10614-015-9495-6.

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Davis, Douglas D., Oleg Korenok, and John P. Lightle. "An experimental examination of interbank markets." Experimental Economics 22, no. 4 (November 12, 2018): 954–79. http://dx.doi.org/10.1007/s10683-018-9595-y.

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Stolbov, Mikhail. "How are interbank and sovereign debt markets linked? Evidence from 14 OECD countries, the Euro area and Russia." Panoeconomicus 61, no. 3 (2014): 331–48. http://dx.doi.org/10.2298/pan1403331s.

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The paper explores causal linkages between interbank and sovereign bond markets in 14 OECD countries, the Euro area and Russia during the 2008-2009 crisis and post-crisis period. The analysis has been carried out for individual countries and in a multivariate framework. It enables to identify systemically important countries in both markets. The USA, Switzerland, Australia, South Korea and Russia are of particular significance in the interbank lending market. Switzerland, the UK, Poland, Australia and Canada play a pivotal role in the public debt market. The analysis under the multivariate framework reveals substantial heterogeneity in the network structure of both markets. Only 12% of causal relationships coincide, which may fuel financial contagion. Volatility spillovers underlie the causal linkages. They are estimated by means of dynamic volatility indices based on rolling correlation matrices and help identify the transformation of the international banking turmoil into the sovereign debt crisis.
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COHEN-COLE, ETHAN, ELEONORA PATACCHINI, and YVES ZENOU. "Static and dynamic networks in interbank markets." Network Science 3, no. 1 (February 12, 2015): 98–123. http://dx.doi.org/10.1017/nws.2015.1.

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AbstractThis paper proposes a model of network interactions in the interbank market. Our innovation is to model systemic risk in the interbank network as the propagation of incentives or strategic behavior rather than the propagation of losses after default. Transmission in our model is not based on default. Instead, we explain bank profitability based on competition incentives and the outcome of a strategic game. As competitors' lending decisions change, banks adjust their own decisions as a result: generating a “transmission” of shocks through the system. We provide a unique equilibrium characterization of a static model, and embed this model into a full dynamic model of network formation. We also determine the key bank, which is the bank that is crucial for the stability of the financial network.
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Siklos, Pierre L., and Martin Stefan. "Exchange rate shocks in multicurrency interbank markets." Journal of Financial Stability 55 (August 2021): 100888. http://dx.doi.org/10.1016/j.jfs.2021.100888.

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Dissertations / Theses on the topic "Interbank markets"

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Garvin, Nicholas. "Essays on liquidity, stress and interventions in interbank markets." Doctoral thesis, Universitat Pompeu Fabra, 2018. http://hdl.handle.net/10803/663095.

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This dissertation comprises three chapters on banking system liquidity. The first chapter models various policies for injecting liquidity into banks during a cri-sis. Liquidity injections through secured lending, relative to unsecured lending or bank-debt guarantees, can better disincentivise liquidity risk taking while also mitigating ex-post capital losses, in part by limiting fire selling of securities. Asset purchases cannot credibly disincentivise liquidity risk taking. The second chapter uses Australian loan-level data to compare secured and unsecured interbank lend-ing markets during the crisis. We find that the secured (i.e. repo) market expands to absorb heightened liquidity demand, and risky borrowers substitute into the repo market if they hold sufficient collateral. Scarcity of the highest-quality collateral pushes the repo market expansion into the next-best collateral, but risky borrowers are less capable of accessing this market. The third chapter presents and analyses an algorithm for extracting loan-level repo data from securities transactions data, to facilitate further research on repo markets
Esta disertación comprende de tres capítulos sobre la liquidez del sistema ban-cario. El primer capítulo trata modelos analíticos que exploran políticas para aumentar liquidez durante una crisis financiera. Las políticas que aumentan liquidez por medio de préstamos garantizados con aval pueden reducir la toma de riesgos de liquidez, mientras también sirven para reducir perdidas tras la crisis al reducir liquidaciones. Esto contrasta con las políticas de créditos no garantizados y las garantías de deudas bancarias. Las compras directas de activos no desincentivan de manera creíble la toma de riesgos. El segundo capítulo es empíırico, y explora la experiencia de Australia durante la crisis financiera de 2007-08. Utilizando microdatos sobre préstamos interbancarios garantizados y no garantizados durante la crisis, encontramos que el mercado asegurado (es decir, de recompra) se expandió para absorber la demanda de liquidez, y que inclusive los prestatarios riesgosos pudieron acceder a ese mercado al tener suficiente garantía. La escasez de garantías de la mayor calidad causo la expansión en un mercado de recompra de menor calidad, pero los prestatarios riesgosos fueron menos capaces de accederlo. El tercer capítulo presenta y analiza un algoritmo para extraer datos de préstamos individuales (de recompra) a partir de datos de transacciones de titulas de deuda, para facilitar la investigación de los mercados de préstamos garantizados.
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Xu, Zhuoran. "Identifying systemic risk in interbank markets by applying network theory." Thesis, University of Bath, 2016. https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.687384.

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Risk assessment on interbank networks has drawn attention from researchers since the 2007 Subprime mortgage crisis. The lack of data for interbank transactions, which are usually not disclosed unless required by regulatory bodies, is one of the most critical difficulties to this research. A remedy to this issue is the dense reconstruction of interbank networks by using balance sheet data. The Maximum-Entropy estimation has been adopted by literature, however, this method produces networks with unrealistic properties: too dense in terms of having too many links. One alternative is sparse reconstruction that proposed by literature recently. This thesis applies the Message-Passing algorithm, which is extensively applied in Thermodynamics or Computer Science, and is suggested by Mastromatteo et al. [2012] for application in network reconstruction. Dense networks and sparse networks are reconstructed from Statistics on Depository Institutions data provided by Federal Deposit Insurance Corporation, and are compared by performance in both network properties and contagion simulations. The popular contagion mechanisms proposed by Furfine [2003] and the model of liquidity dry-up contagion proposed by Malherbe [2014] are adopted and compared in contagion simulations. Results show that dense networks and sparse networks perform differently in network properties and in contagions triggered by single-bank failures, while for contagions triggered by multiple-bank failures, both types of networks perform similarly. Furfine’s mechanism fail to predict some bank failures via the credit risk contagion on liquidity side, while these failures can be simulated by the liquidity dry-up model via fire-sale and marking-to-market effect. Both mechanisms overestimate the losses before the crisis, yet this signals the instability of the banking system, while the liquidity dry-up model proposes an explanation for why the banking system did not fail before the crisis, regarding to whether the equilibrium of high liquidity will shift to the self-fulfilling liquidity dry-up equilibrium. Implications on regulation are given.
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Issa, George. "Three Essays on the Microstructure of Over-the-Counter Interbank Markets." Thesis, The University of Sydney, 2018. http://hdl.handle.net/2123/18150.

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This thesis consists of three essays, with each comprised of an empirical analysis of microstructural issues in over-the-counter interbank markets. It uses a confidential transaction-level database from the Australian fixed-income market that is comprehensive in scope, covering virtually all cash trades and repurchase agreements across multiple asset classes over an extended 7.5-year period. To exploit this wide scope, the essays are framed to investigate issues that have both a strong policy import (given the prominence of over-the-counter and collateral markets during the Global Financial Crisis) and the potential to remedy a gap in the academic literature (given they have been largely ignored by prior researchers due to data limitations). The first paper addresses the question of whether bank relationships affect asset prices. Using simple intuition, it conjectures that traders have a natural incentive to circumvent search frictions by entering bilateral relationships (in contrast to random matching in current theoretical approaches); to compensate for this immediacy, however, an initiating relationship trader sacrifices a higher execution cost relative to search-based trades. By focusing on cash trades across several safe and homogenous asset classes, the paper then tests this hypothesis in a setting that isolates countervailing information frictions. The results, which include extensive robustness checks across normal and crisis periods, provide strong support to the central hypothesis. The second paper addresses the question of whether global banks react to shocks in their home countries by adjusting their bond inventories in geographically-distant markets. Using a difference-in-differences methodology with fixed effects, it examines the relationship between daily U.S. interbank funding shocks and the Australian fixed-income holdings of exposed foreign branches. In line with expectations, the analysis shows that global banks reduce their Australian bond holdings after increases in their U.S. interbank funding costs. Moreover, the variability in the results is consistent with fire-sale theory (Shleifer and Vishny, 1992): the effect is present across asset classes, stronger during the crisis when most global banks were highly capital-constrained and stronger for higher value bonds with a lower fire-sale cost. A supplementary analysis then finds some evidence that these holdings adjustments negatively affected market outcomes, including prices and liquidity. The third paper addresses the question of whether the novel phenomenon of collateral reuse (commonly referred to as rehypothecation) acts as a direct funding mechanism for intermediating banks in repo markets. In addition to one of the first exploratory analyses of this phenomenon, the paper tests a new theoretical literature that models how dealers set haircut margins between source repos and secondary reuse repos backed by the same collateral. The analysis surprisingly finds that haircut spreads are negative, suggesting that on average dealers incur a net loss between the two initial repo legs. Nonetheless, the regression analysis finds that the determinants of haircut spreads are more intuitive and consistent with theoretical predictions; for instance, haircut spreads are negatively related to the delayed income obtained from interest rate spreads, and positively related (albeit weak evidence) to the dealer’s funding costs. Both individually and as a whole, these studies add to our current understanding of over-the-counter markets in ways that are of interest to academics and regulators alike. The first paper introduces and presents evidence consistent with an alternative conception of trading that synthesises the ubiquitous notion of search costs with the empirical dominance of bilateral relationships; it broadly underscores the importance of considering both these intertwined factors for a proper understanding of the dynamics of price formation and liquidity in such markets. The second paper extends the shock transmission literature from loan markets – which it is currently largely constrained to – to a fundamentally different, secondary-asset-market setting; such research is intrinsically connected to the issue of systemic risk, which is at the fore of current global banking regulation movements. And finally, the third paper presents one of the first empirical analyses on rehypothecation, a novel and widely-unknown practice that has the potential for far-reaching implications given increasing collateralisation of both financial and non-financial transactions worldwide; it also provides the first test of theoretical models that conjecture its use as a direct funding mechanism.
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Hinterschweiger, Marc. "Three essays on the transmission of monetary policy, non-linearities, and interbank markets." Diss., Ludwig-Maximilians-Universität München, 2013. http://nbn-resolving.de/urn:nbn:de:bvb:19-163793.

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Temizsoy, Asena. "The effects of crisis on the interbank markets and sovereign risk : empirical investigations." Thesis, City University London, 2016. http://openaccess.city.ac.uk/15184/.

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The 2007-2008 global financial turmoil is the most severe crisis since the Great Depression. Starting with the sub-prime defaults in the United States, it quickly spills over into other markets leading to the collapses of many financial institutions, worldwide banks bailouts, downturns in asset prices and also to sovereign debt crises. The aim of this thesis is to empirically investigate the repercussions of this financial crisis on interbank market and sovereign risk. In Chapter one, we empirically explore the effect of bank lending relationships in the interbank market. We use data from the e-MID market that represents the only transparent electronic platform in Europe and the United States, unaffected by search costs and other actions. We show that stable relationships exist and that they play a significant role during the 2007-2008 financial crisis. Trading with preferred counterparts is associated with more favorable rates for both lenders and borrowers, and carries larger trading volumes. The results point to a peer monitoring role of relationship lending, which contributes, at a time of financial distress, to a smooth liquidity redistribution among banks. Relationship lending thus plays an important positive role for financial stability. Chapter two investigates the role of banks' network centrality in the interbank market on their funding rates. Specifically we analyze transaction data from the e-MID market, over the 2006-2009 period, which encompasses the global financial crisis. We show that interbank spreads are significantly affected by both local and global measures of connectedness. The effects of network centrality increased as the financial crisis evolved. Local measures show that having more links increases borrowing costs for borrowers and reduces premia for lenders. For global network centrality, borrowers receive a significant discount if they increase their intermediation activity and become more central, while lenders pay in general a premium (i.e. receive lower rates) for centrality. This provides evidence of the `too-interconnected-to-fail' hypothesis. Chapter three draws attention to the effect of monetary policies and international linkages on European countries sovereign risks. Using a Global VAR method that allows for interdependencies across individual variables within and across units, we model government bond credit default swaps (CDS) relative to Germany by domestic, global, monetary and weighted foreign variables, where weights are calculated based on the countries' fiscal positions. We find evidence of positive correlation between sovereign bond CDS and risk aversion for almost all countries in the eurozone. When the European Central Bank (ECB) increases the refinancing rate, we observe an increase in risk of sovereign bonds of all countries due to negative environment in Euro area. A decline in money aggregate (M3) leads to all countries becoming more fragile, hence increasing sovereign risk. The shocks that stem from monetary policy changes (i.e. an increase in ECB refinancing rate) causes a rise in sovereign risk due to sensitivity to crisis and uncertainty in Euro area. In contrast, monetary policies have an opposite impact on Greece due to its relative worse performance.
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Georg, Pierre Georg [Verfasser], Markus [Akademischer Betreuer] Pasche, and Andreas [Akademischer Betreuer] Freytag. "Systemic risk in interbank markets / Pierre Georg Georg. Gutachter: Markus Pasche ; Andreas Freytag." Jena : Thüringer Universitäts- und Landesbibliothek Jena, 2012. http://d-nb.info/1019969709/34.

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DEGHI, ANDREA. "Essays on Interbank Formation and the Implications of Financial Structure." Doctoral thesis, Università di Siena, 2017. http://hdl.handle.net/11365/1009240.

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As the events of the 2007 Crisis unfolded, it was clear that the failure or even rumors about the failure of one single institution could trigger freezes in numerous capital markets and widespread default in other financial institutions. How this was brought about, however, was everything but clear. Ten years later, as we stand today, the literature has progressed but many questions remain unresolved. The first question at hand is of course how banks were related and how these bilateral relationships were able to act as a passage of contagion. On the liability side, borrowing between banks provides liquidity insurance against their idiosyncratic shocks. In bad times however, insurance networks malfunctioned, and more centrally connected banks were able to monopolize on their market power to secure a larger surplus in the scramble for liquidity. My first paper further explores the relationship between network position and the ability to hoard liquidity. In addition, assets on bank balance comprise another important channel of contagion and one should ask to which extent cross holding of asset portfolios is optimal. When does the benefit from diversification over idiosyncratic risks dominate? And when does market risk increase systemic risk of common portfolio holdings? The second essay analyzes these questions from the perspectives of private and social welfare. In the end, one must also wonder how these networks were formed at the beginning and how the endogenous formation correlates with the structural implications. The third paper takes a step back and begins with a world where banks optimally choose links, prices and the amounts of trade. This endogenously determined network structure then serves as a coherent laboratory for understanding various frictions in the interbank market such as market freezes. Financial networks are complex and so is the research about them. Hence, in this thesis, I have attempted to shed light on them from various angles, utilizing both bilateral network data as well as theoretical analytical tools. It is my hope that taken together, this set of essays can contribute to a holistic understanding of interconnectedness in financial market.
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Kapar, B. "The effects of 2007-2008 crisis on the CDS and the interbank markets : empirical investigations." Thesis, City University London, 2013. http://openaccess.city.ac.uk/2958/.

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The global crisis of 2007-2008 is the most severe crisis since the Great Depression in the financial markets. Starting with the subprime defaults in the United States, it quickly spills over into other markets leading to the collapses of many financial institutions, bail-outs of banks worldwide and downturns in asset prices. The aim of this thesis is to investigate the repercussions of this crisis on CDS and interbank market and provide empirical evidence on the changes in the pricing of CDS contracts and interbank deposits. Chapter 2 discusses the determinants of CDS spread changes on European contracts. The most remarkable finding of the study is that the relation between credit spreads and their determinants is regime dependant and depends on the sector of economic activity. Before the crisis the underlying credit risk in the overall CDS market is sufficient to explain credit risk. During the crisis investors have a differing view on the risk of financial and non--financial contracts Interestingly, non-financial CDS contracts reflect the credit risk of the counterparty, but financial contracts do not. This implies that governments are expected to bail out dealers to prevent systemic risk. Chapter 3 provides further insight into the European corporate CDS spreads and proposes an equilibrium model accommodating the occurrence of structural breaks in the long-run relationship between the variables. These breaks are endogenously determined within unit root specifications used to describe the dynamics of the explanatory factors. The findings highlight that crisis shocks are persistent and have the potential to change long-run equilibrium dynamics. The systematic credit risk factor is proxied by the European iTraxx index and the idiosyncratic factor by the stock price of reference entity. The model indicates that stock market leads price discovery process. Vector error correction model confirms the strong predictive ability of the iTraxx index and the error correcting vector for changes in the CDS spreads. Chapter 4 focuses on European interbank market and has two main contributions. First, it estimates the cross-sectional density of interbank funding rates using nonparametric kernel methods. Second, it analyzes the effect of banks size, the operating currency and banks' nationality on the cross-sectional distribution of these rates. The findings strongly support the statistical significance of these effects and highlight the importance of these factors as early warning indicators of financial distress. Prior to the crisis, the borrowing segment of the market exhibits distinctive features such as highly volatile and multimodal distributions suggesting the occurrence of distortions in the cross-section of funding rates. During crisis, large domestic banks operating in Euros enjoy the most favourable rates. Banks' nationality analysis further confirms that interbank market provided early warning signals of incoming sovereign crisis.
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Hinterschweiger, Marc [Verfasser], and Gerhard [Akademischer Betreuer] Illing. "Three essays on the transmission of monetary policy, non-linearities, and interbank markets / Marc Hinterschweiger. Betreuer: Gerhard Illing." München : Universitätsbibliothek der Ludwig-Maximilians-Universität, 2013. http://d-nb.info/1046502964/34.

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Ozel, Bulent. "Designing scalable and stock-flow-consistent agent-based models: Policy scenarios and experiments on housing markets, monetary unions and interbank networks." Doctoral thesis, Universitat Jaume I, 2019. http://hdl.handle.net/10803/666909.

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The recent debates in economics, following the 2008 crisis, have pointed out a necessity for micro-founded macroeconomic modelling approaches for policy analyses. Agent based models have been adopted to address two underlining aspects of a micro-founded macroeconomic approach. This dissertation as a whole is an effort at fulfilling this necessity. It is composed of a number of interrelated studies. Specific research questions are raised around the debates on monetary unions, housing markets and interbank networks. The overall objective in these works is to be able to address policy questions while employing sound and reusable stock-flow-consistent models. A common methodological practice is elicited at reaching this objective: delineating the design of a top-down policy experimentation set-up from the design of individual agent behaviors for a bottom up emergence first, and then coupling them back to reach a conceptual coherence between the policy issue and the assumptions on agents’ behavioral choices.
Los recientes debates en economía tras la crisis de 2008, han señalado la necesidad de utilizar modelos macroeconómicos micro fundados para el análisis de políticas. Se han utilizado modelos basados en agentes para abordar dos aspectos destacados dentro de los modelos macroeconómicos micro fundados. Esta tesis es un esfuerzo para satisfacer esta necesidad. Se compone de una serie de es tudios interrelacionados. En ella se plantean cuestiones específicas en torno a los debates sobre uniones monetarias, mercados de vivienda y redes interbancarias. El objetivo general de estos trabajos es poder abordar diferentes cuestiones de política económica, a la vez que se utilizan modelos sólidos y stock-flujo consistentes reutilizables. Se utiliza una misma metodología para lograr este objetivo: primero, delinear un entorno de experimentación de políticas de arriba hacia abajo a partir del diseño de comportamientos de agentes individuales para una emergencia ascendente, para luego unirlos de nuevo para alcanzar una coherencia conceptual entre la cuestión de política introducida y los supuestos sobre las elecciones de comportamiento de los agentes.
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Books on the topic "Interbank markets"

1

Demiralp, Selva. Overnight interbank loan markets. Washington, D.C: Federal Reserve Board, 2004.

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Huh, Kyong, Benedicte Christensen, Peter Quirk, and Toshihiko Sasaki. Floating Exchange Rates in Developing Countries: Experience with Auction and Interbank Markets. Washington, D.C.: International Monetary Fund, 1987. http://dx.doi.org/10.5089/9780939934898.084.

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J, Quirk Peter, ed. Floating exchange rates in developing countries: Experience with auction and interbank markets. Washington, D.C: International Monetary Fund, 1987.

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Upper, Christian. Using counterfactual simulations to assess the danger of contagion in interbank markets. Basel, Switzerland: Bank for International Settlements, 2007.

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Fund, International Monetary. Floating Exchange Rates in Developing Countries: Experience with Auction and Interbank Markets. S.l: s.n, 1987.

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Fukuda, Shinʼichi. Market-specific and currency-specific risk during the global financial crisis: Evidence from the Interbank markets in Tokyo and London. Cambridge, MA: National Bureau of Economic Research, 2011.

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Fukuda, Shinʼichi. Market-specific and currency-specific risk during the global financial crisis: Evidence from the Interbank markets in Tokyo and London. Cambridge, MA: National Bureau of Economic Research, 2011.

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Spadafora, Francesco. Financial crises, moral hazard and the "speciality" of the international interbank market: Further evidence from the pricing of syndicated bank loans to emerging markets. Roma: Banca d'Italia, 2002.

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Wells, Simon. Financial interlinkages in the United Kingdom's interbank market and the risk of contagion. London: Bank of England, 2004.

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Prati, Alessandro. The overnight interbank market:evidence from the G-7 and the euro zone. [New York, N.Y.]: Federal Reserve Bank of New York, 2001.

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Book chapters on the topic "Interbank markets"

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Saiti, Buerhan, Aznan Hasan, and Engku Rabiah Adawiah Engku Ali. "Islamic Interbank Money Market: Contracts, Instruments and Their Pricing." In Islamic Capital Markets, 67–100. Cham: Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-33991-7_5.

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Iyer, Rajkamal, and Jose-luis Peydro. "Interbank Markets as a Source of Contagion." In Financial Contagion, 321–24. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2011. http://dx.doi.org/10.1002/9781118267646.ch36.

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Sakazaki, Jun, and Naoki Makimoto. "Financial Contagion through Asset Price and Interbank Networks." In Advanced Studies of Financial Technologies and Cryptocurrency Markets, 11–33. Singapore: Springer Singapore, 2020. http://dx.doi.org/10.1007/978-981-15-4498-9_2.

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Bargigli, Leonardo, Giovanni di Iasio, Luigi Infante, Fabrizio Lillo, and Federico Pierobon. "Interbank Markets and Multiplex Networks: Centrality Measures and Statistical Null Models." In Understanding Complex Systems, 179–94. Cham: Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-23947-7_11.

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Yandiev, Magomet. "Short-Term Liquidity Management Mechanisms in the Absence of Islamic Interbank Loan Markets." In Macroprudential Regulation and Policy for the Islamic Financial Industry, 153–59. Cham: Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-30445-8_9.

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Petersson, Tom. "Cooperation, Interbank Markets and Bank-Industry Networks: The Growth and Characteristics of Swedish Bank Lending, 1860–1910." In The Swedish Financial Revolution, 64–78. London: Palgrave Macmillan UK, 2010. http://dx.doi.org/10.1057/9780230297234_4.

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Röman, Jan R. M. "The Interbank Market." In Analytical Finance: Volume II, 227–35. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-52584-6_7.

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Herring, Richard J. "The Interbank Market." In Eurodollars and International Banking, 111–21. London: Palgrave Macmillan UK, 1985. http://dx.doi.org/10.1007/978-1-349-07120-3_4.

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Poncet, Patrice, and Roland Portait. "The Money Market and Its Interbank Segment." In Springer Texts in Business and Economics, 93–118. Cham: Springer International Publishing, 2022. http://dx.doi.org/10.1007/978-3-030-84600-8_3.

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Keiding, Hans. "Liquidity Shocks, Bank Runs and the Interbank Market." In Economics of Banking, 277–98. London: Macmillan Education UK, 2016. http://dx.doi.org/10.1007/978-1-137-45305-1_14.

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Conference papers on the topic "Interbank markets"

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Gudelytė, Laura. "On the systemic risk and optimality in non-homogenous innovation clusters." In Contemporary Issues in Business, Management and Economics Engineering. Vilnius Gediminas Technical University, 2019. http://dx.doi.org/10.3846/cibmee.2019.013.

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Purpose – to analyse the concept of systemic risk of innovation cluster and show its impact on the optimality of cluster performance as well as to cluster structure. Research methodology – general overview of research papers and documents presenting concepts and methodologies of evaluation of systemic risk and performance of networked structures as interbank markets and business clusters with regard to asymmetric information, applied research. Findings – determination of systemic risk in a networked structure that appears together with synergistic effect as a result of collaboration in a networked structure. The clique-based structure appears to be more favourable for innovation cluster performance due to optimal sharing of information and systemic risk. The interpretation of the model of evaluation of systemic risk can be at least twofold: core-periphery, business entities-R&D institutions, etc. Research limitations – lack of empirical data that cannot be used to implement empirical research on a problem of systemic risk and its modelling. Practical implications – the conceptual model of evaluation of systemic risk should be useful for understanding and further treatment of measuring risk in a case of innovation management. Originality/Value – in this paper, the model of evaluation of systemic risk in innovation cluster and its interpretations are provided. The systemic risk is treated as a generalized risk impacting directly or non-directly the performance of an innovation cluster.
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Xu, Tao, Jianmin He, and Shouwei Li. "An Interbank Market Network Model based on Bank Credit Lending Preference." In 5th International Conference on Operations Research and Enterprise Systems. SCITEPRESS - Science and Technology Publications, 2016. http://dx.doi.org/10.5220/0005734201570162.

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Kharitonov, I. "Dynamics of USSR’s foreign financial operations in 1920: a case study of Garantie- und Kredit Bank für den Osten (Garkrebo) archive materials." In Historical research in the context of data science: Information resources, analytical methods and digital technologies. LLC MAKS Press, 2020. http://dx.doi.org/10.29003/m1794.978-5-317-06529-4/95-103.

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The paper analyses the international financial operations of the USSR in the 1920s via the case of interbank transactions of the Soviet foreign bank in Germany – the Garantie- und Kredit Bank für den Osten (Garkrebo). The study is based on quantitative data from the archival bank accounting reports. It reveals that the State Bank of the USSR was an initiator of the Soviet financial operations abroad. These operations were aimed to the American foreign currency market, particularly to support of Soviet currency (сhervonets) rate
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Kharitonov, I. "Dynamics of USSR’s foreign financial operations in 1920: a case study of Garantie- und Kredit Bank für den Osten (Garkrebo) archive materials." In Historical research in the context of data science: Information resources, analytical methods and digital technologies. LLC MAKS Press, 2020. http://dx.doi.org/10.29003/m1794.978-5-317-06529-4/95-103.

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The paper analyses the international financial operations of the USSR in the 1920s via the case of interbank transactions of the Soviet foreign bank in Germany – the Garantie- und Kredit Bank für den Osten (Garkrebo). The study is based on quantitative data from the archival bank accounting reports. It reveals that the State Bank of the USSR was an initiator of the Soviet financial operations abroad. These operations were aimed to the American foreign currency market, particularly to support of Soviet currency (сhervonets) rate
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Ding, Hao, and Lin Wu. "Bayesian analysis of interbank lending market volatility using SV model empirical analysis from SHIBOR." In 2013 International Conference on Engineering, Management Science and Innovation (ICEMSI). IEEE, 2013. http://dx.doi.org/10.1109/icemsi.2013.6913985.

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Kuerthy, Gabor, Agnes Vidovics-Dancs, Janos Szaz, and Peter Juhasz. "What Is The Best Way To Help? Central Bank Strategies And The Interbank Market." In 34th International ECMS Conference on Modelling and Simulation. ECMS, 2020. http://dx.doi.org/10.7148/2020-0084.

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Yang, Jie, and Shaozong Zhang. "VaR Model Based on GARCH Approach and Extreme Value Theory with Application in Chinese Interbank Offering Market." In 2010 2nd International Conference on Information Engineering and Computer Science (ICIECS). IEEE, 2010. http://dx.doi.org/10.1109/iciecs.2010.5677862.

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Lleshaj, Llesh. "Volatility Estimation of Euribor and Equilibrium Forecasting." In 7th International Scientific Conference ERAZ - Knowledge Based Sustainable Development. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2021. http://dx.doi.org/10.31410/eraz.2021.171.

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Euribor rates (Euro Interbank Offered Rate) rates are considered to be the most important reference rates in the European money market. The interest rates do provide the basis for the price and interest rates of all kinds of financial products like interest rate swaps, interest rate futures, saving accounts and mortgages. Since September 2014, this index has per­formed with negative rates. In recent years, several European central banks have imposed negative interest rates on commercial banks, as the only way to stimulate their nations’ economies. Under these circumstances, the purpose of this study is to estimate the gap of the negative rates which are still increasing constantly. This fact puts in question the financial stability in many countries and the effect of monetary policy on stimulating economic growth around European countries. According to the daily data 2016 - 2021, this study has analyzed the volatility of the Euribor index related to efficient market hypothesis and volatility clustering. Applying advanced volatility econometric methods, GARCH volatility models are derived and the long-run equilibrium is predicted. Practical Implications are related to the empiri­cal impacts that ought to be taken into consideration by the banking sector and other financial institutions to make decisions with the Euribor index.
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Lee, Hankyung, Insung Son, and Jinsu Kim. "An Effect of Brand Valuation Reports on Korea Equity Market: Using the Event Study based on Korea Best Brands by Interbrand from 2013 to 2015." In Business 2015. Science & Engineering Research Support soCiety, 2015. http://dx.doi.org/10.14257/astl.2015.102.12.

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Buzgău, Horațiu Oliviu, and Smaranda Adina Cosma. "Boosting Agribusinesses with Brands during COVID-19 Pandemic." In Seventh International Scientific-Business Conference LIMEN Leadership, Innovation, Management and Economics: Integrated Politics of Research. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2021. http://dx.doi.org/10.31410/limen.s.p.2021.87.

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Agribusiness is one of the major forces in global economic devel­opment. Since the 1980s, diversification has been seen by agribusiness as one of the right strategies to improve and increase its status, but the COVID-19 pandemic has exposed the vulnerabilities of agribusiness. In this new context, companies have capitalized on the marketing dimension, shaping their iden­tity to transfer and add value, especially to end consumers. The brand is an intangible bridge that strengthens entrepreneurial capital. The paper aims to analyze the impact of the COVID-19 pandemic on the main players in the agribusiness industry, taking into account marketing performance indicators such as turnover, rating and brand value before and during the COVID-19 pandemic. Exploratory research was performed based on the analysis of sec­ondary data. Given the annual agribusiness reports, the first ten agribusiness­es were generated and analyzed using the rankings on turnover, profit and brands developed by Forbes, Brand Finance and Interbrand. The research clas­sified agribusiness taking into account the market they addressed: B2B, B2C, or mixed formula. Only Nestlé is present in all the rankings. From the rating point of view, the pandemic generated by the new Coronavirus did not pro­duce notable implications on the brand of the big players in the international agribusiness. For Romanian agribusinesses, Transavia, Cris-Tim, Vel Pitar are in the top ten in terms of turnover and brand value. The study emphasizes the complementarity of analyzes and the interdependence between them.
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Reports on the topic "Interbank markets"

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Sarmiento, Miguel. Sudden Yield Reversals and Financial Intermediation in Emerging Markets. Banco de la República, October 2022. http://dx.doi.org/10.32468/be.1210.

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Banks in emerging market economies rely on cross-border interbank lending to financing firms in the real sector. By matching cross-border bank-to-bank loan level data with domestic bank-to-firm loan level data, and firm-level data, this paper shows that sudden yield reversal observed during the 2013 Fed taper tantrum resulted in a substantial contraction of cross-border interbank lending in emerging markets that significantly reduced the supply of domestic corporate credit and increased the corporate loan rates. Results show that firms with an ex-ante high concentration of credit granted by exposed banks in the cross-border interbank market exhibited low bank credit and substantial real effects, including a decline in imports and exports. The results further indicate that cross-border intra-group lending and domestic unsecured interbank funding contribute to smoothing the effects of sudden yield reversals on the financial intermediation. Overall, the results are consistent with the notion that banks’ exposition in international credit markets contributes to global financial conditions’ transmission to the economy.
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González-Sabogal, Camilo, Luisa Fernanda Silva-Escobar, Carmiña Ofelia Vargas-Riaño, and Andrés M. Velasco. Uncertainty in the money supply mechanism and interbank markets in Colombia. Bogotá, Colombia: Banco de la República, November 2013. http://dx.doi.org/10.32468/be.790.

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González, Camilo, Luisa Fernanda Silva-Escobar, Carmiña Ofelia Vargas-Riaño, and Andrés M. Velasco. An Exploration on Interbank Markets and the Operational Framework of Monetary Policy in Colombia. Bogotá, Colombia: Banco de la República, September 2013. http://dx.doi.org/10.32468/be.782.

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Fukuda, Shin-ichi. Market-specific and Currency-specific Risk During the Global Financial Crisis: Evidence from the Interbank Markets in Tokyo and London. Cambridge, MA: National Bureau of Economic Research, April 2011. http://dx.doi.org/10.3386/w16962.

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Wheelock, David C., and Mark A. Carlson. Interbank Markets and Banking Crises: New Evidence on the Establishment and Impact of the Federal Reserve. Federal Reserve Bank of St. Louis, 2015. http://dx.doi.org/10.20955/wp.2015.037.

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Amstad, Marlene, and Zhiguo He. Chinese Bond Market and Interbank Market. Cambridge, MA: National Bureau of Economic Research, February 2019. http://dx.doi.org/10.3386/w25549.

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Sarmiento, Miguel, Jorge Cely, and Carlos Eduardo León-Rincón. Monitoring the unsecured interbank funds market. Bogotá, Colombia: Banco de la República, November 2015. http://dx.doi.org/10.32468/be.917.

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Altinoglu, Levent, and Joseph Stiglitz. Collective Moral Hazard and the Interbank Market. Cambridge, MA: National Bureau of Economic Research, February 2022. http://dx.doi.org/10.3386/w29807.

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León-Rincón, Carlos Eduardo, Ana Constanza Martínez-Ventura, and Freddy Hernán Cepeda-López. Short-term liquidity contagion in the interbank market. Bogotá, Colombia: Banco de la República, December 2015. http://dx.doi.org/10.32468/be.920.

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Financial Stability Report - September 2015. Banco de la República, August 2021. http://dx.doi.org/10.32468/rept-estab-fin.sem2.eng-2015.

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From this edition, the Financial Stability Report will have fewer pages with some changes in its structure. The purpose of this change is to present the most relevant facts of the financial system and their implications on the financial stability. This allows displaying the analysis more concisely and clearly, as it will focus on describing the evolution of the variables that have the greatest impact on the performance of the financial system, for estimating then the effect of a possible materialization of these risks on the financial health of the institutions. The changing dynamics of the risks faced by the financial system implies that the content of the Report adopts this new structure; therefore, some analyses and series that were regularly included will not necessarily be in each issue. However, the statistical annex that accompanies the publication of the Report will continue to present the series that were traditionally included, regardless of whether or not they are part of the content of the Report. In this way we expect to contribute in a more comprehensive way to the study and analysis of the stability of the Colombian financial system. Executive Summary During the first half of 2015, the main advanced economies showed a slow recovery on their growth, while emerging economies continued with their slowdown trend. Domestic demand in the United States allowed for stabilization on its average growth for the first half of the year, while other developed economies such as the United Kingdom, the euro zone, and Japan showed a more gradual recovery. On the other hand, the Chinese economy exhibited the lowest growth rate in five years, which has resulted in lower global dynamism. This has led to a fall in prices of the main export goods of some Latin American economies, especially oil, whose price has also responded to a larger global supply. The decrease in the terms of trade of the Latin American economies has had an impact on national income, domestic demand, and growth. This scenario has been reflected in increases in sovereign risk spreads, devaluations of stock indices, and depreciation of the exchange rates of most countries in the region. For Colombia, the fall in oil prices has also led to a decline in the terms of trade, resulting in pressure on the dynamics of national income. Additionally, the lower demand for exports helped to widen the current account deficit. This affected the prospects and economic growth of the country during the first half of 2015. This economic context could have an impact on the payment capacity of debtors and on the valuation of investments, affecting the soundness of the financial system. However, the results of the analysis featured in this edition of the Report show that, facing an adverse scenario, the vulnerability of the financial system in terms of solvency and liquidity is low. The analysis of the current situation of credit institutions (CI) shows that growth of the gross loan portfolio remained relatively stable, as well as the loan portfolio quality indicators, except for microcredit, which showed a decrease in these indicators. Regarding liabilities, traditional sources of funding have lost market share versus non-traditional ones (bonds, money market operations and in the interbank market), but still represent more than 70%. Moreover, the solvency indicator remained relatively stable. As for non-banking financial institutions (NBFI), the slowdown observed during the first six months of 2015 in the real annual growth of the assets total, both in the proprietary and third party position, stands out. The analysis of the main debtors of the financial system shows that indebtedness of the private corporate sector has increased in the last year, mostly driven by an increase in the debt balance with domestic and foreign financial institutions. However, the increase in this latter source of funding has been influenced by the depreciation of the Colombian peso vis-à-vis the US dollar since mid-2014. The financial indicators reflected a favorable behavior with respect to the historical average, except for the profitability indicators; although they were below the average, they have shown improvement in the last year. By economic sector, it is noted that the firms focused on farming, mining and transportation activities recorded the highest levels of risk perception by credit institutions, and the largest increases in default levels with respect to those observed in December 2014. Meanwhile, households have shown an increase in the financial burden, mainly due to growth in the consumer loan portfolio, in which the modalities of credit card, payroll deductible loan, revolving and vehicle loan are those that have reported greater increases in risk indicators. On the side of investments that could be affected by the devaluation in the portfolio of credit institutions and non-banking financial institutions (NBFI), the largest share of public debt securities, variable-yield securities and domestic private debt securities is highlighted. The value of these portfolios fell between February and August 2015, driven by the devaluation in the market of these investments throughout the year. Furthermore, the analysis of the liquidity risk indicator (LRI) shows that all intermediaries showed adequate levels and exhibit a stable behavior. Likewise, the fragility analysis of the financial system associated with the increase in the use of non-traditional funding sources does not evidence a greater exposure to liquidity risk. Stress tests assess the impact of the possible joint materialization of credit and market risks, and reveal that neither the aggregate solvency indicator, nor the liquidity risk indicator (LRI) of the system would be below the established legal limits. The entities that result more individually affected have a low share in the total assets of the credit institutions; therefore, a risk to the financial system as a whole is not observed. José Darío Uribe Governor
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