Multiple equilibrium overnight rates in a dynamic interbank market game /

We analyse a two period model of the interbank market, i.e. the market at which banks trade liquidity. We assume that banks do not take the inter- bank interest rate as given, but multilaterally negotiate on interest rates and transaction volumes. The solution concept applied is the Shapley value. W...

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Bibliographic Details
Main Author: Tapking, Jens
Format: eBook
Language:English
Published: Deutsche Bundesbank, Frankfurt am Main : 2003
Series:Discussion paper (Deutsche Bundesbank) Series 1: Studies of the Economic Research Centre no. 04/03
Subjects:
Online Access:https://www.econstor.eu/bitstream/10419/19590/1/200304dkp.pdf
Description
Summary:We analyse a two period model of the interbank market, i.e. the market at which banks trade liquidity. We assume that banks do not take the inter- bank interest rate as given, but multilaterally negotiate on interest rates and transaction volumes. The solution concept applied is the Shapley value. We show that there is a multiplicity of average equilibrium interest rates of the first period so that the average interest rate in this period does not convey any information on the expected liquidity situation at the interbank market.
Physical Description:1 recurso en línea (34 p.)
Bibliography:Bibliografía: p. 28-29.
ISBN:393582145X