Intermediation in the interbank lending market

• 成果类型: Article
• 署名作者: Craig, Ben; Ma, Yiming
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Cleveland; Columbia University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.11.003
• 发表日期: 2022
• 页码: 179-207
• 关键词: interbank market; Financial networks; Firm lending; Funding shock; Systemic risk

摘要

We examine systemic risk in the interbank market. We first establish that in the German interbank lending market, a few large banks intermediate funding flows between many smaller periphery banks. We then develop a network model in which banks trade off the costs and benefits of link formation. The model is structurally estimated using banks' preferences as revealed by the observed network structure before the Great Financial Crisis. In out-of-sample tests, model estimates based on pre-crisis data successfully predict changes in the network structure and lending to firms during the Great Financial Crisis. Finally, for each of the intermediaries, we quantify systemic risk and the impact of European Central Bank funding in reducing this risk. (C) 2021 Elsevier B.V. All rights reserved.