A model of liquidity hoarding and term premia in inter-bank markets
成果类型：
Article
署名作者：
Acharya, Viral V.; Skeie, David
署名单位：
Federal Reserve System - USA; Federal Reserve Bank - New York; National Bureau of Economic Research
刊物名称：
JOURNAL OF MONETARY ECONOMICS
ISSN/ISSBN：
0304-3932
DOI：
10.1016/j.jmoneco.2011.05.006
发表日期：
2011
页码：
436-447
关键词：
摘要：
Financial crises are associated with reduced volumes and extreme levels of rates for term inter-bank loans, reflected in one-month and three-month LIBOR. We explain such stress by modeling leveraged banks' precautionary demand for liquidity. Asset shocks impair a bank's ability to roll over debt because of agency problems associated with high leverage. In turn, banks hoard liquidity and decrease term lending as their rollover risk increases over the term of the loan. High levels of short-term leverage and illiquidity of assets lead to low volumes and high rates for term borrowing. In extremis, inter-bank markets can completely freeze. (C) 2011 Published by Elsevier B.V.
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