Sehr geehrte Damen und Herren!

Anbei übermitteln wir Ihnen die Einladung zu einem VOSTA-Freitagsseminar von Lucas Vernet, Sciences Politiques, Paris, mit dem Titel “The Interbank Lending Market ”

Termin

Freitag, 10. Juli 2015, 11.00 Uhr

Ort

Oesterreichische Nationalbank

Otto-Wagner-Platz 3, 1090 Wien

Veranstaltungssaal, EG

Abstract

The interbank lending market is one of the foundation of modern financial markets. It allows the flow of liquidities between banks in order to meet temporary and localized liquidity needs. The rate of interbank loans is a major guide for many products traded on several OTC markets. If some models analyze how search frictions, bargaining power and risk aversion affect prices and liquidity in OTC markets, they don't endogenize the creation of relationship between banks. The dynamic of their formation is however a key feature to understand how liquidity and shocks spread through the network. We use a dataset provided by the OeNB on the interbank market structure in Austria to present the key characteristics of the formation of these relationships. We discuss the stability and persistence of some topological characteristics and show that this network has a core-periphery structure already presented in several empirical studies. Finally we propose a network formation model to explain the endogenous creation of relationships in which banks, subject to liquidity shocks, form links with potential lenders and bargain over the rate. In this model persistent relationships are used by the banks to hedge liquidity risk.

Um Ihre Rückmeldung ersuchen wir bis Mittwoch, 8. Juli 2015.

Wir freuen uns auf Ihre Teilnahme und stehen für Fragen gerne zur Verfügung.

Mit freundlichen Grüßen

Event-Management

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Oesterreichische Nationalbank

Abteilung für Öffentlichkeitsarbeit und Finanzbildung

Communications and Financial Literacy Division

Phone:  +43-1-404 20-6620

Fax:      +43-1-404 20-04 6697

E-mail:  Event-Management@oenb.at