Interbank Market Integration under Asymmetric Information
研究跨国信息不对称如何影响国际银行间市场的一体化，发现一体化均衡可能不存在或与分割均衡共存，而回购市场虽能降低利差但可能破坏无担保一体化均衡。
Cross-country bank lending appears to be subject to market imperfections leading to persistent interest rate differentials. In a model where banks need to cope with liquidity shocks by borrowing or by liquidating assets, we study the scope for international interbank market integration with unsecured lending when cross-country information is noisy. We find that an equilibrium with integrated markets need not always exist, and that it may coexist with one characterized by segmenta-tion. A repo market reduces interest rate spreads and improves upon the segmenta-tion equilibrium. However, it may destroy the unsecured integrated equilibrium. The objective of this article is to study the effects of cross-country asym-metric information on the structure of financial markets. Our main con-cern is the design of money markets and the role of repo and (unsecured) interbank markets in an international framework, but our results carry over to a more general framework of the analysis of cross-country direct investment, covering the cross-country market both for bonds and equity. The creation of an integrated interbank market is particularly relevant in order for banks to cope efficiently with liquidity shocks. Interbank mar-kets are instrumental in allowing for a smooth working of the payment systems (so that a bank that is lacking liquidity in the payment system is able to borrow from another bank), and in channeling liquidity to the banks and countries that need it most. Both repo and unsecured interbank lending allow banks to cope with liquidity shocks. Still, because unsecured markets are based on peer monitoring, they introduce market discipline, thus playing the role unsecured deposits may play when depositors receive information [Calomiris and Kahn (1991)]. The collapse of a well-functioning unsecured interbank market proved to be crucial in the context of Eastern Asia financial crises where