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- W2160751791 abstract "We study the functioning of secured and unsecured interbank markets in the presence of credit risk. The model generates empirical predictions that are in line with developments during the 2007-2009 financial crisis. 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." @default.
- W2160751791 created "2016-06-24" @default.
- W2160751791 creator A5015152309 @default.
- W2160751791 creator A5069915922 @default.
- W2160751791 date "2009-07-26" @default.
- W2160751791 modified "2023-09-26" @default.
- W2160751791 title "Interbank Lending, Credit Risk Premia and Collateral" @default.
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