Title of article
A modelofliquidityhoardingandtermpremiain inter-bankmarkets
Author/Authors
Viral V. Acharya، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2011
Pages
12
From page
436
To page
447
Abstract
Financialcrisesareassociatedwithreducedvolumesandextremelevelsofratesfor
terminter-bankloans,reflectedinone-monthandthree-monthLIBOR.Weexplainsuch
stress bymodelingleveragedbanks’precautionarydemandforliquidity.Assetshocks
impairabank’sabilitytorolloverdebtbecauseofagencyproblemsassociatedwith
high leverage.Inturn,bankshoardliquidityanddecreasetermlendingastheirrollover
risk increasesoverthetermoftheloan.Highlevelsofshort-termleverageand
illiquidityofassetsleadtolowvolumesandhighratesfortermborrowing.Inextremis,
inter-bankmarketscancompletelyfreeze
Journal title
Journal of Monetary Economics
Serial Year
2011
Journal title
Journal of Monetary Economics
Record number
846482
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