Liquidity risk and contagion in interbank markets: a presentation of Allen and Gale Model

FERROUHI, El Mehdi and LEHADIRI, Abderrassoul (2013): Liquidity risk and contagion in interbank markets: a presentation of Allen and Gale Model.

Abstract

The paper analyzes liquidity risk and contagion in interbank markets. The aim of the research is to define the different structures of interbank markets and structures that allow the better allocation of liquidity and thus avoid the spread of crisis in the whole system. For this purpose, this paper examines Allen and Gale model. This model is the pioneer model in the management of liquidity risk in the interbank market. We will then analyze the mechanisms that explain the spread of liquidity risk in the banking system both at national and international level.

• Item Type: MPRA Paper
• Language: English
• Keywords: liquidity, risk, interbank market, structure, Morocco, financial crisis
• Subjects: G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages; G - Financial Economics > G3 - Corporate Finance and Governance > G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill

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