From organization to activity in the US collateralized interbank market

From organization to activity in the US collateralized interbank market

This paper studies and connects market organization and activity in the US collateralized interbank market using an assumption-neutral approach. We apply cluster analysis to aggregate activity factors suggested by prior studies to support two market organizations: three-tier and core-periphery. We f...

Full description

Bibliographic Details
Main Authors: Oet, M.V (Author), Ong, S.J (Author)
Format: Article
Language:English
Published: Elsevier Ltd 2019
Subjects:
Cluster analysis
Collateralized interbank market
Interbank activity factors
Latent factor analysis
Market organization
Tiering
Online Access:View Fulltext in Publisher
Description
Summary:This paper studies and connects market organization and activity in the US collateralized interbank market using an assumption-neutral approach. We apply cluster analysis to aggregate activity factors suggested by prior studies to support two market organizations: three-tier and core-periphery. We find that four bank-specific factors and one economic-conditions factor explain interbank activity for both alternative organizations. We also find evidence that the interbank market organization affects institutions’ borrowing and lending. While both organizations moderate interbank activity, the three-tier structure detects distinct market operations which are not represented in the core-periphery structure. © 2016 Federal Reserve Bank of Cleveland
ISBN:02755319 (ISSN)
DOI:10.1016/j.ribaf.2016.01.012

Similar Items