Interbank market contagion by mark-to-market accounting

TOPIC: 

INTERBANK MARKET CONTAGION BY MARK-TO-MARKET ACCOUNTING

ABSTRACT

This paper investigates the bankruptcy contagion of banks in interbank markets due to mark-to-mark accounting. We show the process of the contagion through interbank markets when banks have no opportunities to hedge aggregate liquidity shocks. In addition, we characterize when a central bank should intervene in the interbank markets in the aggregate liquidity shocks.

Presenter

RYUICHIRO ISHIKAWA
University of Tsukuba

Research Fields

Game theory and market theory: Especially researches of the cognitive roles for decision-makings.

Date:

5 August 2013

Time: 

3.45pm - 5.15pm 

Venue: 

Meeting Room 5.1, Level 5
School of Economics 
Singapore Management University
90 Stamford Road
Singapore 178903