C71 - Cooperative Games

• Efficiency and Bargaining Power in the Interbank Loan Market

  Staff Working Paper 2012-29 Jason Allen, James Chapman, Federico Echenique, Matthew Shum

  Using detailed loan transactions-level data we examine the efficiency of an overnight interbank lending market, and the bargaining power of its participants. Our analysis relies on the equilibrium concept of the core, which imposes a set of no-arbitrage conditions on trades in the market.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial Institutions, Payment clearing and settlement systems JEL Code(s): C, C7, C71, E, E5, E58, G, G2, G21, G28