Tuesday, November 1st @ 11:00-12:30 PM (639 Evans Hall)
The Network of Large-Value Loans in the US: Concentration and Segregation
Danny Ebanks, Federal Reserve
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.