IDEAS home Printed from https://ideas.repec.org/p/chf/rpseri/rp1806.html
   My bibliography  Save this paper

Ignorance Is Bliss? Anonymous Lending with Roll over Risk

Author

Listed:
  • Tobias Dieler

    (University of Bristol)

  • Loriano Mancini

    (University of Lugano and Swiss Finance Institute)

Abstract

We provide a model of banks' short-term funding and study the conditions influencing roll over risk. Our model reproduces the major differences between U.S. and Euro short-term funding markets. Anonymous, short-term markets are resilient against larger liquidity shocks. Non- anonymous markets however improve welfare by allocating resources efficiently. An anonymous Central Counterparty (CCP) is therefore welfare improving in a liquidity crisis but detrimental to welfare in normal times. The insurance mechanism on the CCP, which transfers wealth from high to low quality borrowers, always increases the market's resilience against a liquidity shock.

Suggested Citation

  • Tobias Dieler & Loriano Mancini, 2018. "Ignorance Is Bliss? Anonymous Lending with Roll over Risk," Swiss Finance Institute Research Paper Series 18-06, Swiss Finance Institute.
    • Handle: RePEc:chf:rpseri:rp1806
    as

    Download full text from publisher

    File URL: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3086097
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    lending; roll-over risk; asymmetric information; social welfare;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:chf:rpseri:rp1806. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ridima Mittal (email available below). General contact details of provider: https://edirc.repec.org/data/fameech.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.