Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/153541 
Erscheinungsjahr: 
2009
Schriftenreihe/Nr.: 
ECB Working Paper No. 1107
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
We study the functioning of secured and unsecured inter-bank markets in the presence of credit risk. The model generates empirical predictions that are in line with developments during the 2007-2009 financial crises. Interest rates decouple across secured and unsecured markets following an adverse shock to credit risk. The scarcity of underlying collateral may amplify the volatility of interest rates in secured markets. We use the model to discuss various policy responses to the crisis.
Schlagwörter: 
collateral
Credit risk
financial crisis
Interbank Market
liquidity
JEL: 
G01
G21
E58
Dokumentart: 
Working Paper

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