PAUL JOHNSON
  • HOME
  • BLOG
  • Kiviq Software Instructions
  • Kaivik Software Instructions
  • Kaivik Manuscript and instructions
  • Original Vernon Smith Double Auction Experiment Paper
  • Experimental Economics Labs
  • Economic Education Resources
  • Kaivik Manuscript and more instructions

Only Paul Could Go To Changchun

What Drives Interbank Loans? Evidence from Canada

2/1/2018

 
Here.

We identify the drivers of unsecured and collateralized loan volumes, rates and haircuts in Canada using the Bayesian model averaging approach to deal with model uncertainty. Our results suggest that the key friction driving behaviour in this market is the collateral reallocation cost faced by borrowers. Borrowers therefore adjust unsecured lending in response to changes in short-term cash needs, and use repos to finance persistent liquidity demand. We also find that lenders set rates and haircuts taking into account counterparty credit risk and collateral market price volatility.

From:
Narayan Bulusu
Bank of Canada

Pierre Guérin
OECD

Comments are closed.
Proudly powered by Weebly