On this joint project with Anton Badev, we analyze the universe of large-value loans intermediated through Fedwire, the primary U.S. real-time, gross settlement service provided by the Federal Reserve System for the period from 2007 to 2015. We embed banks' bilateral lending relationships and interest rate quotes in a game on a graph following Badev (2013), for which we approximate the equilibrium play via a k-player dynamic. We document a series of fundamental changes in the topology of the bilateral loan network and propose a framework to study the evolution of the concentration of large-value loan intermediaries.
- November 1, 2016 11:00 -12:30 PM
- Location: 639 Evans Hall at UC Berkeley