Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/171757
Authors: 
Blasques, Francisco
Bräuning, Falk
van Lelyveld, Iman
Year of Publication: 
2016
Series/Report no.: 
Working Papers 16-3
Abstract: 
We introduce a dynamic network model of interbank lending and estimate the parameters by indirect inference using network statistics of the Dutch interbank market from mid-February 2008 through April 2011. We find that credit-risk uncertainty and peer monitoring are significant factors in explaining the market's sparse core-periphery structure and the presence of relationship lending. Shocks to credit-risk uncertainty lead to extended periods of low market activity, intensified by a reduction in peer monitoring. Moreover, changes in the central bank's interest-rate corridor have a direct effect on the market as well as an indirect effect that acts to change banks' monitoring efforts.
Subjects: 
interbank liquidity
financial networks
credit-risk uncertainty
peer monitoring
monetary policy
trading relationships
indirect parameter estimation
JEL: 
C33
C51
E52
G01
G21
Document Type: 
Working Paper
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