Interbank Trading in a Segmented OTC Market

UNIVERSITY OF TECHNOLOGY SYDNEY
Finance Discipline Group 
Research Seminars in Finance
 
Topic: Interbank Trading in a Segmented OTC Market
 
Speaker: Peter Hoffman, European Central Bank
 
Abstract: We present a core-periphery model of trading in the overnight interbank market. We model periods of crises as an increase in the number of peripheral banks that lose access to core dealers, resulting in segmentation between core and peripheral markets. Our model implies that such an increase in segmentation raises (i) the market power of periphery banks connected to the core, (ii) the dispersion of rates in the interbank market, and (iii) inefficient recourse to the central bank standing facilities. We argue that these implications are consistent with stylised facts about the interbank market and propose new predictions about trading in a segmented OTC market.
 
A light lunch will be provided at 1p.m. Please RSVP for catering purposes to Mala Kapahi by 12 noon on Monday, 16th October.
 
Date: Wednesday, 18th October 2017      
Time: 12.00 – 1.00 p.m.
Venue: University of Technology, Sydney
            Building 8
            Dr Chau Chak Wing Building
           14 - 28 Ultimo Road, Ultimo
 
Co-ordinator: Adrian Lee (Ph: +61 2 9514 7765)
 
Enquiries: Mala Kapahi (Ph: +61 2 9514 7777)
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UTS acknowledges the Gadigal people of the Eora Nation, the Boorooberongal people of the Dharug Nation, the Bidiagal people and the Gamaygal people, upon whose ancestral lands our university stands. We would also like to pay respect to the Elders both past and present, acknowledging them as the traditional custodians of knowledge for these lands.