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dc.contributor.authorHakenes, Hendriken
dc.contributor.authorFecht, Falkoen
dc.date.accessioned2009-01-28T16:02:57Z-
dc.date.available2009-01-28T16:02:57Z-
dc.date.issued2006-
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
dc.language.isoengen
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.en
dc.relation.ispartofseries|aDiscussion Paper Series 2 |x2006,12en
dc.subject.jelG33en
dc.subject.jelG21en
dc.subject.jelD82en
dc.subject.ddc330en
dc.subject.keywordLiquidityen
dc.subject.keywordmoney market derivativesen
dc.subject.keywordlines of crediten
dc.subject.keywordforward contractsen
dc.subject.keywordoptionsen
dc.subject.stwGeldmarkten
dc.subject.stwFinanzderivaten
dc.subject.stwBankenliquiditäten
dc.subject.stwRefinanzierungen
dc.subject.stwInformationsökonomiken
dc.subject.stwTheorieen
dc.titleMoney market derivatives and the allocation of liquidity risk in the banking sector-
dc.typeWorking Paperen
dc.identifier.ppn523552602en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bubdp2:5225en

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