Interbank market and funding liquidity risk in a stock‐flow consistent model
- The present stock-flow consistent model aims at capturing the second causal link of endogenous monetary theory, from deposits to reserves, by including intrasectoral flows within the banking sector and \(\textit {debt maturity}\) structure decisions. For this purpose, banks can choose the demanded duration of interbank loans, either overnight or term, according to a measure for maturity mismatch which captures funding liquidity risk. The simulations show that: (i) a well-functioning term interbank market is needed when banks face exogenous shocks; and (ii) banks' funding structure may act as an endogenous source of credit market pressures.
Author: | Jessica RealeORCiDGND |
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URN: | urn:nbn:de:hbz:294-88738 |
DOI: | https://doi.org/10.1111/meca.12380 |
Parent Title (English): | Metroeconomica |
Publisher: | Wiley-Blackwell |
Place of publication: | Oxford |
Document Type: | Article |
Language: | English |
Date of Publication (online): | 2022/04/29 |
Date of first Publication: | 2022/02/28 |
Publishing Institution: | Ruhr-Universität Bochum, Universitätsbibliothek |
Tag: | interbank market; monetary policy; rollover risk; stock- flow consistent models |
Volume: | 73 |
Issue: | 3 |
First Page: | 734 |
Last Page: | 769 |
Institutes/Facilities: | Lehrstuhl für Makroökonomik |
Dewey Decimal Classification: | Sozialwissenschaften / Wirtschaft |
open_access (DINI-Set): | open_access |
faculties: | Fakultät für Wirtschaftswissenschaft |
Licence (English): | Creative Commons - CC BY 4.0 - Attribution 4.0 International |