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Liquidity Hoarding and Interbank Market Spreads : The Role of Counterparty Risk

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  • Heider, F.
  • Hoerova, M.
  • Holthausen, C.

Abstract

We study the functioning and possible breakdown of the interbank market in the presence of counterparty risk. We allow banks to have private information about the risk of their assets. We show how banks JEL Classification: G01, G21, D82
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Heider, F. & Hoerova, M. & Holthausen, C., 2009. "Liquidity Hoarding and Interbank Market Spreads : The Role of Counterparty Risk," Discussion Paper 2009-40 S, Tilburg University, Center for Economic Research.
    • Handle: RePEc:tiu:tiucen:e03a6a65-2fc7-4b2e-9e94-fe9fbdbce214
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    References listed on IDEAS

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    More about this item

    Keywords

    Financial crisis; Interbank market; Liquidity; Asymmetric in- formation;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design

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