Please use this identifier to cite or link to this item:
Giri, Federico
Year of Publication: 
Series/Report no.: 
FinMaP-Working Paper 27
The aim of this paper is to assess the impact of the interbank market on the business cycle fluctuations. In order to do that, we build a DSGE model with heterogeneous households and banks. The surplus bank can allocate its resources between interbank lending and risk free government bonds. This portfolio choice is affected by an exogenous counterpart risk shock on the interbank lending. An increase of the counterpart risk diverts funds from the interbank markets toward the risk free market. This mechanism allow us to capture the collapse of the interbank market and the fly to quality mechanism underlying the 2007 financial crisis. The main result is that an interbank riskiness shock seems to explain part of the 2007 downturn and especially the rise of the interest rates on the credit market during and just after the financial turmoil.
DSGE model
financial frictions
interbank market
Bayesian estimation
Document Type: 
Working Paper

Files in This Item:
700.11 kB

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