Multiple equilibrium overnight rates in a dynamic interbank market game
AbstractWe 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 ultilaterally 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 Ãrst period so that the average interest rate in this period does not convey any information on the expected liquidity situation at the interbank market.
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Bibliographic InfoArticle provided by Elsevier in its journal Games and Economic Behavior.
Volume (Year): 56 (2006)
Issue (Month): 2 (August)
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Web page: http://www.elsevier.com/locate/inca/622836
Other versions of this item:
- Tapking, Jens, 2003. "Multiple equilibrium overnight rates in a dynamic interbank market game," Discussion Paper Series 1: Economic Studies 2003,04, Deutsche Bundesbank, Research Centre.
- Jens Tapking, 2004. "Multiple equilibrium overnight rates in a dynamic interbank market game," Finance 0409018, EconWPA.
- Jens Tapking, 2004. "Multiple equilibrium overnight rates in a dynamic interbank market game," Finance 0409042, EconWPA.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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