Arbeitspapier
Banks, markets, and financial stability
We use a Diamond/Dybvig-based model with two banks operating in separate regions connected by a common asset market in which banks and sophisticated depositors invest. We study the effect of a potential run (crisis) and subsequent fire sales on the asset price in both the crisis and no-crisis state. In our model, the two are jointly determined by a cash-in-the-market pricing and a no-arbitrage condition. We find that (i) a higher crisis probability increases the liquidity premium and thus asset prices in the normal and crisis case and (ii) a higher share of sophisticated investors increases market depth and thus the crisis price while it might also raise the asset price in the normal state.
- Sprache
-
Englisch
- ISBN
-
978-3-95729-079-3
- Erschienen in
-
Series: Bundesbank Discussion Paper ; No. 31/2014
Klassifikation
Wirtschaft
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors
Asset Pricing; Trading Volume; Bond Interest Rates
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors
Asset Pricing; Trading Volume; Bond Interest Rates
Thema
liquidity risk
financial crises
contagion
asset price bubbles
financial crises
contagion
asset price bubbles
Ereignis
Geistige Schöpfung
(wer)
Eder, Armin
Fecht, Falko
Pausch, Thilo
Fecht, Falko
Pausch, Thilo
Ereignis
Veröffentlichung
(wer)
Deutsche Bundesbank
(wo)
Frankfurt a. M.
(wann)
2014
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:23 MESZ
Objekttyp
- Arbeitspapier
Beteiligte
- Eder, Armin
- Fecht, Falko
- Pausch, Thilo
- Deutsche Bundesbank
Entstanden
- 2014
Ähnliche Objekte (12)
The dark and the bright side of liquidity risks: evidence from open-end real estate funds in Germany
On the Stability of Different Financial Systems
Relationship lending in the interbank market and the price of liquidity
The intraday interest rate: What's that?
Banks, Markets, and Financial Stability
Optimal lender of last resort policy in different financial systems
How central is central counterparty clearing? A deep dive into a European repo market during the crisis
Banks, markets, and efficiency
The fire-sale channels of universal banks in the European sovereign debt crisis
Open-end real estate funds in Germany: genesis and crisis
On the Stability of Different Financial Systems
Substitution between net and gross settlement systems: A concern for financial stability?
The dark and the bright side of liquidity risks: evidence from open-end real estate funds in Germany
On the Stability of Different Financial Systems
Relationship lending in the interbank market and the price of liquidity
The intraday interest rate: What's that?
Banks, Markets, and Financial Stability
Optimal lender of last resort policy in different financial systems
How central is central counterparty clearing? A deep dive into a European repo market during the crisis
Banks, markets, and efficiency
The fire-sale channels of universal banks in the European sovereign debt crisis
Open-end real estate funds in Germany: genesis and crisis
On the Stability of Different Financial Systems
Substitution between net and gross settlement systems: A concern for financial stability?
The dark and the bright side of liquidity risks: evidence from open-end real estate funds in Germany
On the Stability of Different Financial Systems
Relationship lending in the interbank market and the price of liquidity
The intraday interest rate: What's that?
Banks, Markets, and Financial Stability
Optimal lender of last resort policy in different financial systems
How central is central counterparty clearing? A deep dive into a European repo market during the crisis
Banks, markets, and efficiency
The fire-sale channels of universal banks in the European sovereign debt crisis
Open-end real estate funds in Germany: genesis and crisis
On the Stability of Different Financial Systems