Reservation Rates in Interbank Money Markets
提出一个带保留利率的配对计量模型，用于控制银行间市场中的内生匹配问题。利用欧洲主权债务危机期间的独特数据，发现保留利率的存在会扭曲大银行折扣等关键指标，并检验了多种理论预测。
Abstract This paper proposes a dyadic econometric model with reservation rates to control for endogenous matching in interbank money markets. We apply our method to a unique data set and study the interbank market during the European sovereign debt crisis. The estimates uncover the existence of reservation rates, their omission can bias important quantities like the discount enjoyed by big banks, a potential measure of the “too‐big‐to‐fail” subsidy. We test predictions of various theories on the interbank market. The market did not freeze completely during the crisis and active peer monitoring was still in place under limited information asymmetry. Dispersion in rates and liquidity hoarding was driven by banks' nationality, regardless of the borrower quality.