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原文連結
論文資訊
- 類型：已發表論文
- 日期：2014-12-06
摘要
We use an 資訊-theoretic approach to describe changes in lending relationships between financial institutions around the time of the Lehman Brothers failure. Unlike previous work that conducts maximum likelihood estimation on undirected 網絡s our analysis distinguishes between borrowers and lenders and looks for broader lending relationships (multi-bank lending cycles) that extend beyond the immediate counter-parties. We detect significant changes in lending patterns following implementation of the Interest on Required and Excess Reserves policy by the Federal Reserve in October 2008. Analysis of micro-scale rates of change in the data suggests these changes were triggered by the collapse of Lehman Brothers a few weeks before.
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