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Advanced Search Results For "INTERBANK market"

1 - 10 of 4,047 results for
 "INTERBANK market"
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Dynamic Contagion of Systemic Risk in an Endogenous Banking System.

Publication Type:Academic Journal

Source(s):Mathematical Problems in Engineering. 6/16/2022, p1-11. 11p.

Abstract:An endogenous banking system is proposed based on dynamic mechanisms of interbank loans and investment strategies to explore the behavioral incentives of diversification and its effects on systemic risk. The results highlight the advantages of differen...

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Interbank market and funding liquidity risk in a stock‐flow consistent model.

Publication Type:Academic Journal

Source(s):Metroeconomica. Jul2022, Vol. 73 Issue 3, p734-769. 36p.

Abstract: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 debt maturity structure decisions. For this purpos...

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Overnight returns, daytime reversals, and future stock returns.

Publication Type:Academic Journal

Source(s):Journal of Financial Economics. Sep2022, Vol. 145 Issue 3, p850-875. 26p.

Abstract:A higher frequency of positive overnight returns followed by negative trading day reversals during a month suggests a more intense daily tug of war between opposing investor clienteles, who are likely composed of noise traders overnight and arbitrageur...

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Intermediation in the interbank lending market.

Publication Type:Academic Journal

Source(s):Journal of Financial Economics. Aug2022:Part A, Vol. 145 Issue 2, p179-207. 29p.

Abstract:We examine systemic risk in the interbank market. We first establish that in the German interbank lending market, a few large banks intermediate funding flows between many smaller periphery banks. We then develop a network model in which banks trade of...

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Research on the Stock Correlation Network Entropy and Its Influencing Factors in the Chinese Interbank Market.

Publication Type:Academic Journal

Source(s):Mathematical Problems in Engineering. 7/26/2021, p1-8. 8p.

Abstract:The stability of the interbank market is an essential guarantee for the sustainable development of society. Network entropy theory provides a critical research paradigm for the study of the stability of the interbank market. Considering that few schola...

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A Dynamic Contagion Risk Model with Recovery Features.

Publication Type:Academic Journal

Source(s):Mathematics of Operations Research. May2022, Vol. 47 Issue 2, p1412-1442. 31p.

Abstract:We introduce threshold growth in the classical threshold contagion model, or equivalently a network of Cramér-Lundberg processes in which nodes have downward jumps when there is a failure of a neighboring node. Choosing the configuration model as under...

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How does risk information dissemination affect risk contagion in the interbank market?

Publication Type:Academic Journal

Source(s):PLoS ONE. 7/25/2022, Vol. 17 Issue 7, p1-17. 17p.

Abstract:This paper distinguishes between local and global risk information and disaggregates risk information dissemination in the interbank market based on specified behavioural mechanisms: information disclosure and transmission, information acquisition and ...

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ON SOME MICROECONOMIC EFFECTS OF FINANCIAL SANCTIONS (THE CASE OF BELARUS, 2014-2020).

Publication Type:Academic Journal

Source(s):Belarusian Economic Journal. 2022, Issue 1, p17-34. 18p.

Abstract:The article studies the situation when three Belarusian banks with Russian capital fell under the financial sectoral sanctions from the USA and EU in 2014. Two hypotheses have been analysed based on the 336 quarterly and 60 annual data from 3 sanctione...

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Cross-Border Bank Flows and Monetary Policy.

Publication Type:Academic Journal

Source(s):Review of Financial Studies; Jan2022, Vol. 35 Issue 1, p438-481, 44p

Abstract:Copyright of Review of Financial Studies is the property of Oxford University Press / USA and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users m...

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Subgraph Network Random Effects Error Components Models: Specification and Testing.

Publication Type:Academic Journal

Source(s):Journal of Econometric Methods. Jan2022, Vol. 11 Issue 1, p17-34. 18p.

Abstract:This paper develops a subgraph random effects error components model for network data linear regression where the unit of observation is the node. In particular, it allows for link and triangle specific components, which serve as a basal model for mode...

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