EconStor >
Deutsche Bundesbank, Forschungszentrum, Frankfurt am Main >
Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/19759
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorHakenes, Hendriken_US
dc.contributor.authorFecht, Falkoen_US
dc.date.accessioned2009-01-28T16:02:57Z-
dc.date.available2009-01-28T16:02:57Z-
dc.date.issued2006en_US
dc.identifier.urihttp://hdl.handle.net/10419/19759-
dc.description.abstractMoney markets have two functions, the allocation of liquidity and the processing of information. We develop a model that allows us to evaluate the efficiency of different money market derivatives regarding these two objectives. We assume that due to its size, a large bank receives a more precise signal about the overall liquidity development in the banking sector. In an upcoming liquidity shortage this large bank can exploit its informational advantage in the spot money market by rationing liquidity. Using forward contracts, the large bank can credibly commit not to squeeze small banks in the event of a liquidity shortage. But forward contracts do not provide incentives for the large bank to pass on its information to other banks. In contrast, lines of credit between the large and the small banks ensure that the large bank provides its information to other banks.en_US
dc.language.isoengen_US
dc.relation.ispartofseriesDiscussion Paper, Series 2: Banking and Financial Supervision 2006,12en_US
dc.subject.jelG33en_US
dc.subject.jelG21en_US
dc.subject.jelD82en_US
dc.subject.ddc330en_US
dc.subject.keywordLiquidityen_US
dc.subject.keywordmoney market derivativesen_US
dc.subject.keywordlines of crediten_US
dc.subject.keywordforward contractsen_US
dc.subject.keywordoptionsen_US
dc.subject.stwGeldmarkten_US
dc.subject.stwFinanzderivaten_US
dc.subject.stwBankenliquiditäten_US
dc.subject.stwRefinanzierungen_US
dc.subject.stwInformationsökonomiken_US
dc.subject.stwTheorieen_US
dc.titleMoney market derivatives and the allocation of liquidity risk in the banking sectoren_US
dc.typeWorking Paperen_US
dc.identifier.ppn523552602en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:bubdp2:5225-
Appears in Collections:Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank

Files in This Item:
File Description SizeFormat
200612dkp_b_.pdf449.36 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.