In this paper, we identify and quantify the importance of endogenous peer effects in the interbank market, allowing for varying degrees of intensity of these peer effects. We base our analysis on a unique dataset that includes all interbank loans that have taken place between 15 banks in the Chilean interbank market representing more than 95% of the market between 2009 and 2016. This approach contrasts sharply with the geographical definition of peers used by most of the literature. As an application of our model, we examine an episode of liquidity shortage experienced by one Chilean bank in the interbank market, with the lenses of our model. We show evidence consistent with a herding behavior of the lender banks which, according to our model, were peers of the stressed bank.

在本文中，我们确定并量化了银行同业拆借市场中内生同业效应的重要性，并考虑到这些同业效应强度的不同程度。我们的分析基于一个独特的数据集，其中包括 2009 年至 2016 年间智利银行同业拆借市场的 15 家银行之间发生的所有银行同业拆借，占市场的 95% 以上。这种方法与智利使用的同业地理定义形成鲜明对比。大多数文献。作为我们模型的一个应用，我们用我们模型的镜头研究了一家智利银行在银行同业拆借市场所经历的流动性短缺事件。我们展示了与贷款银行的羊群行为一致的证据，根据我们的模型，这些银行是压力银行的同行。