Multiple equilibrium overnight rates in a dynamic interbank market game

We analyse a two period model of the interbank market, i.e. the market at which banks trade liquidity. We assume that banks do not take the interbank interest rate as given, but ultilaterally negotiate on interest rates and transaction volumes. The solution concept applied is the Shapley value. We show that there is a multiplicity of average equilibrium interest rates of the Þrst period so that the average interest rate in this period does not convey any information on the expected liquidity situation at the interbank market.

Multiple equilibrium overnight rates in a dynamic interbank market game

We analyse a two period model of the interbank market, i.e. the market at which banks trade liquidity. We assume that banks do not take the interbank interest rate as given, but multilaterally negotiate on interest rates and transaction volumes. The solution concept applied is the Shapley value. We show that there is a multiplicity of average equilibrium interest rates of the Þrst period so that the average interest rate in this period does not convey any information on the expected liquidity situation at the interbank market.

Multiple equilibrium overnight rates in a dynamic interbank market game

We analyse a two period model of the interbank market, i.e. the market at which banks trade liquidity. We assume that banks do not take the inter- bank interest rate as given, but multilaterally negotiate on interest rates and transaction volumes. The solution concept applied is the Shapley value. We show that there is a multiplicity of average equilibrium interest rates of the first period so that the average interest rate in this period does not convey any information on the expected liquidity situation at the interbank market. -- Wir analysieren ein Zwei-Perioden-Modell des Interbankenmarktes, d. h. des Marktes an dem Banken untereinander Liquidität handeln. Wir nehmen an, dass die Banken den Zinssatz am Interbankenmarkt nicht als exogen betrachten, sondern Zinssätze und Transaktionsvolumen in multilateralen Verhandlungen festlegen. Als Gleichgewichtskonzept dient der Shapley-Wert. Wir zeigen, dass der durchschnittliche Zinssatz der ersten Periode im Gleichgewicht nicht eindeutig ist und daher keine Informationen über die erwartete Liquiditätssituation am Interbankenmarkt enthält.

The Eurosystem's Standing Facilities in a General Equilibrium Model of the European Interbank Market

We analyse the European interbank market in a general equilibrium model. Several institutional aspects of the market are taken into consideration, especially the Eurosystem?s two standing facilities, reserve requirements of banks and the fact that borrowing from the Eurosystem has to be secured. We show that some characteristics of the interbank market which have been ignored in the theoretical literature on the interbank market until now can have a significant impact on the banks? recourse to the standing facilities. -- Wir analysieren den europäischen Interbankenmarkt im Rahmen eines allgemeinen Gleichgewichtmodells. Es werden verschiedene institutionelle Aspekte des Interbankenmarktes berücksichtigt, insbesondere die zwei ständigen Fazilitäten des Eurosystems, die Reserveverpflichtungen der Banken und die Tatsache, daß Kredite des Eurosystems besichert werden müssen. Wir zeigen, daß einige bisher in der theoretischen Literatur unberücksichtigt gebliebenen Eigenschaften des Interbankenmarktes einen Einfluß auf die Inanspruchnahme der Fazilitäten durch die Banken haben.

Pricing of settlement link services and mergers of central securities depositories

This paper tries to contribute to the discussion on the role of securities settlement infrastructures for financial integration in Europe. It presents a model that can explain a well-known stylized fact of securities settlement, the surprisingly high fees charged by central securities depositories (CSDs) for settlement through links between CSDs. As the model turns out to provide a robust explanation for this stylized fact, it is then used to analyzes an important policy question, the welfare effects of mergers of CSDs. JEL Classification: G21, G15, L13central securities depositories, link settlement fees, Securities settlement

The Eurosystem’s Standing Facilities in a General Equilibrium Model of the European Interbank Market

We analyse the European interbank market in a general equilibrium model. Several institutional aspects of the market are taken into consideration, especially the Eurosystem’s two standing facilities, reserve requirements of banks and the fact that borrowing from the Eurosystem has to be secured. We show that some characteristics of the interbank market which have been ignored in the theoretical literature on the interbank market until now can have a signi…cant impact on the banks’ recourse to the standing facilities.

Repo markets, counterparty risk and the 2007/2008 liquidity crisis

A standard repurchase agreement between two counterparties is considered to examine the endogenous choice of collateral assets, the feasibility of secured lending, and welfare implications of the central bank’s collateral framework. As an important innovation, we allow for two-sided counterparty risk. Our findings relate to empirical characteristics of repo transactions and have an immediate bearing on market developments since August 2007. JEL Classification: G21, G32, E51collateral, Counterparty risk, haircuts, liquidity, repurchase agreements

Horizontal and vertical integration and securities trading and settlement

This paper addresses a very European issue, the consolidation of securities trading and settlement infrastructures. In a two-country model, we analyze welfare implications of different types of consolidation. We find that horizontal integration of settlement systems is better than vertical integration of exchanges and settlement systems, but vertical integration is still better than no consolidation. These findings have clear policy implications with regards to the highly fragmented European securities infrastructure. JEL Classification: G21, G15, L13Securities trading and settlement, substitutes and complements, vertical and horizontal integration

Axioms for preferences revealing subjective uncertainty and uncertainty aversion,”

Abstract This article analyzes a decision maker's preferences and their updating in situations with uncertainty. Axioms for a list containing a prior preference relation and an updated preference relation for different information are presented, such that (1) each preference relation in this list is a Choquet expected utility preference relation as axiomatized by [Econometrica 57 (1989) 571] and (2) the list reveals both the decision maker's subjective uncertainty and his uncertainty aversion