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 multilaterally 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 Þrst 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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Date of creation: 07 Sep 2004
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Other versions of this item:
- Tapking, Jens, 2006. "Multiple equilibrium overnight rates in a dynamic interbank market game," Games and Economic Behavior, Elsevier, vol. 56(2), pages 350-370, August.
- Jens Tapking, 2004. "Multiple equilibrium overnight rates in a dynamic interbank market game," Finance 0409042, EconWPA.
- 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.
- G - Financial Economics
This paper has been announced in the following NEP Reports:
- NEP-FIN-2004-09-12 (Finance)
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