From Organization to Activity in the US Collateralized Interbank Market

47 Pages Posted: 15 Dec 2015

See all articles by Mikhail V. Oet

Mikhail V. Oet

Case Western Reserve University - Weatherhead School of Management; Federal Reserve Banks - Federal Reserve Bank of Cleveland

Stephen J. Ong

Federal Reserve Banks - Federal Reserve Bank of Cleveland

Date Written: 2015-12-14

Abstract

This paper studies and connects market organization and activity in the US collateralized interbank market using an assumption-neutral approach. We apply cluster analysis to aggregate activity factors suggested by prior studies to support two market organizations: three-tier and core-periphery. We find that four bank-specific factors and one economic conditions factor explain interbank activity for both alternative organizations. We also find evidence that the interbank market organization affects institutions' borrowing and lending. While both organizations moderate interbank activity, the three-tier structure detects distinct market operations which are not represented in the core-periphery structure.

Keywords: collateralized interbank market, market organization, tiering, interbank activity factors, cluster analysis, latent factor analysis

JEL Classification: C30, C38, E44, G10, G21

Suggested Citation

Oet, Mikhail V. and Ong, Stephen J., From Organization to Activity in the US Collateralized Interbank Market (2015-12-14). FRB of Cleveland Working Paper No. 1529, Available at SSRN: https://ssrn.com/abstract=2703734

Mikhail V. Oet (Contact Author)

Case Western Reserve University - Weatherhead School of Management ( email )

364 PBL Building
Cleveland, OH 44106
United States

Federal Reserve Banks - Federal Reserve Bank of Cleveland ( email )

East 6th & Superior
Cleveland, OH 44101-1387
United States
216.774.2684 (Phone)
216.579.2932 (Fax)

Stephen J. Ong

Federal Reserve Banks - Federal Reserve Bank of Cleveland ( email )

East 6th & Superior
Cleveland, OH 44101-1387
United States

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