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Interbank Market Integration under Asymmetric Information

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Author Info
Freixas, X.
Holthausen, C.
Abstract

While domestic interbank markets are often considered to work in an efficient way, cross-country bank lending appears to be subject to market imperfections leading to persistent interest rate differentials. In a model where banks need to cope with liquidity shocks by borrowing or by liquidating assets, we study the scope for international interbank market integration with unsecured lending when cross-country information is noisy.

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Publisher Info
Paper provided by Quebec a Montreal - Recherche en gestion in its series Papers with number 74.

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Length: 43 pages
Date of creation: 2001
Date of revision:
Handle: RePEc:fth:uqamge:74

Contact details of provider:
Postal: Canada; Universite du Quebec a Montreal, Centre de recherche en gestion. Case postale 8888, succursale A, Montreal (Quebec) Canada H3C 3P8

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Related research
Keywords: BANKS ; MARKET ; INTEREST RATE ; INFORMATION;

Find related papers by JEL classification:
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
G20 - Financial Economics - - Financial Institutions and Services - - - General
F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration

Cited by:
(explanations, 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.)

  1. Michele Manna & Philipp Hartmann & Andres Manzanares, 2001. "The microstructure of the Euro money market," Working Paper Series 080, European Central Bank. [Downloadable!]
    Other versions:
  2. Alyson Bloomer & Thierry Warin, 2005. "A Note on the ECB’s Monetary Policy when Confronted with International Systemic Risks," Global Economy Journal, Berkeley Electronic Press, vol. 5(1). [Downloadable!]
  3. Degryse, H.A. & Nguyen, G., 2004. "Interbank exposures : an empirical examination of systemic risk in the Belgian banking system," Discussion Paper 4, Tilburg University, Center for Economic Research. [Downloadable!]
    Other versions:
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This page was last updated on 2009-12-16.

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