Liquidity Hoarding, Network Externalities, and Interbank Market Collapse
Liquidity Hoarding, Network Externalities, and Interbank Market Collapse
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流动性囤积、网络外部性和银行间市场崩溃
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发表时间：
2009
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通讯作者：
S. Kapadia
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作者：
Prasanna Gai;S. Kapadia
银行间市场崩溃是全球金融危机的一个核心特征。为了应对对一些非资产负债表工具可行性的担忧，银行停止了相互贷款，但最短期限的贷款除外，导致2007年和2008年整个全球金融体系出现资金短缺。以网络的方法，我们的论文认为，这种银行间市场的系统性故障是罕见的事件，可以解释为一些银行之间的预防性囤积，由于对自己的未来流动性需求的关注，以及银行的内生反应，流动性囤积的其他人。银行未能将其行为对整个体系的潜在后果内部化，这表明了审慎政策的作用。我们的结论突显出，对系统重要性机构提出更严格的流动性要求，可能有助于避免危机通过融资市场蔓延。保留字：银行间市场;网络模型;传染;系统性风险;金融危机;流动性风险JEL分类：D85; G01; G21免责声明：本文代表作者的观点，不应被认为代表英格兰银行或货币政策委员会成员的观点。澳大利亚国立大学克劳福德经济与政府学院，澳大利亚堪培拉，ACT 0200。电子邮件地址：prasanna. gai@anu.edu.au。yBank of England，Threadneedle Street，伦敦，EC 2 R 8AH，英国。电子邮件：sujit. bankofengland.co.uk流动性囤积、网络外部性与银行间市场崩溃2
The interbank market collapse has been a central feature of the global nancial crisis. In response to concerns about the viability of some o¤-balance sheet vehicles, banks stopped lending to each other at all but the shortest maturities resulting in a funding drought across the entire global nancial system during 2007 and 2008. Taking a network approach, our paper argues that such systemic breakdowns of the interbank market are rare events that can be explained by precautionary hoarding amongst some banks due to concerns about their own future liquidity needs, and endogenous responses by banks to the liquidity hoarding of others. The failure of banks to internalise the potential consequences of their actions for the system as a whole points to a role for prudential policy. Our ndings highlight the potential contribution that tougher liquidity requirements for systemically important institutions can make in averting contagion through funding markets. Keywords: Interbank markets; Network models; Contagion; Systemic risk; Financial crises; Liquidity risk JEL classication: D85; G01; G21 Disclaimer: This paper represents the views of the authors and should not be thought to represent those of the Bank of England or Monetary Policy Committee members. Crawford School of Economics and Government, Australian National University, Canberra, ACT 0200, Australia. E-mail address : prasanna.gai@anu.edu.au. yBank of England, Threadneedle Street, London, EC2R 8AH, United Kingdom. E-mail address : sujit.kapadia@bankofengland.co.uk Liquidity Hoarding, Network Externalities, and Interbank Market Collapse 2