Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/154392
Authors: 
Wolski, Marcin
van de Leur, Michiel
Year of Publication: 
2016
Series/Report no.: 
ECB Working Paper 1959
Abstract: 
This study develops a novel agent-based model of the interbank market with endogenous credit risk formation mechanisms. We allow banks to exchange funds through unsecured and secured transactions in order to facilitate the flow of funds to the most profitable investment projects. Our model confirms basic stylized facts on (i) bank balance sheet distributions, (ii) interbank interest rates and (iii) interbank lending volumes, for both the secured and the unsecured market segments. We also find that network structures within the secured market segment are characterized by the presence of dealer banks, while we do not observe similar patterns in the unsecured market. Finally, we illustrate the usefulness of our model for analysing a number of policy scenarios.
Subjects: 
agent-based models
collateral
interbank lending
networks
repo
JEL: 
C63
E17
E47
E58
Document Type: 
Working Paper

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