Interbank Lending , Collateral , and the 2007 Liquidity Crisis

@inproceedings{Ewerhart2008InterbankL,
  title={Interbank Lending , Collateral , and the 2007 Liquidity Crisis},
  author={Christian Ewerhart},
  year={2008}
}
A standard repo contract between two commercial banks is considered to examine the endogenous choice of collateral assets, the feasibility of secured lending, and the welfare implications of the central bank’s collateral framework. As an important innovation, we assume that not only the cash borrower, but also the cash lender may default. Our findings relate to empirical characteristics of repo transactions and have an immediate bearing on the market developments in the second half of the year… CONTINUE READING

Figures from this paper.

Similar Papers

References

Publications referenced by this paper.
SHOWING 1-10 OF 11 REFERENCES

Banks as Liquidity Providers: An Explanation for the Coexistence of Lending and DepositTaking

A. K. Kashyap, R. Rajan, J. C. Stein
  • Journal of Finance
  • 2002
VIEW 5 EXCERPTS
HIGHLY INFLUENTIAL

European Repo Market Survey, International Capital

R. Comotto
  • 2007
VIEW 2 EXCERPTS

Markets can punish Europe’s fiscal sinners

J. Fels
  • 2005
VIEW 1 EXCERPT