Interbank market and funding liquidity risk in a stock‐flow consistent model
- The present stock-flow consistent model aims at capturing the second causal link of endogenous monetary theory, from deposits to reserves, by including intrasectoral flows within the banking sector and \(\textit {debt maturity}\) structure decisions. For this purpose, banks can choose the demanded duration of interbank loans, either overnight or term, according to a measure for maturity mismatch which captures funding liquidity risk. The simulations show that: (i) a well-functioning term interbank market is needed when banks face exogenous shocks; and (ii) banks' funding structure may act as an endogenous source of credit market pressures.
| Author: | Jessica RealeORCiDGND |
|---|---|
| URN: | urn:nbn:de:hbz:294-88738 |
| DOI: | https://doi.org/10.1111/meca.12380 |
| Parent Title (English): | Metroeconomica |
| Publisher: | Wiley-Blackwell |
| Place of publication: | Oxford |
| Document Type: | Article |
| Language: | English |
| Date of Publication (online): | 2022/04/29 |
| Date of first Publication: | 2022/02/28 |
| Publishing Institution: | Ruhr-Universität Bochum, Universitätsbibliothek |
| Tag: | interbank market; monetary policy; rollover risk; stock- flow consistent models |
| Volume: | 73 |
| Issue: | 3 |
| First Page: | 734 |
| Last Page: | 769 |
| Institutes/Facilities: | Lehrstuhl für Makroökonomik |
| Dewey Decimal Classification: | Sozialwissenschaften / Wirtschaft |
| open_access (DINI-Set): | open_access |
| faculties: | Fakultät für Wirtschaftswissenschaft |
| Licence (English): |  Creative Commons - CC BY 4.0 - Attribution 4.0 International |
