Propagation of endogenous liquidity shocks within the interbank market
提出一个能描述银行间市场流动性冲击传播并预测流动性崩溃的新模型，发现美国LIBOR-OIS利差变动引发的流动性冲击会驱动美德国债利差的制度转换。
A common assumption made in the literature is that financial risk is exogenous and therefore shocks originate from outside the system. However, in reality both exogenous and endogenous risk affect the smooth functioning of financial markets, with the later having a more pronounced and at times devastating effect. We propose a novel multivariate endogenous model with time-varying transition probabilities which is able to describe the propagation of liquidity shocks in the interbank market while predicting liquidity crashes. We show that liquidity shocks, originating from movements of the US LIBOR-OIS spread, drive regime changes in the US-German bond spread.