Search Results - subject:"Overnight loans"

Do private signals of a bank’s creditworthiness predict the bank’s CDS price? Evidence from the Eurosystem's overnight loan rates

Tölö, Eero; Jokivuolle, Esa; Viren, Matti - Suomen Pankki - 2014

We investigate the relationship between the daily average interbank overnight borrowing rate (AOR) and the credit default swap price (CDS) of 60 banks using the Eurosystem’s proprietary data from mid-2008 to mid-2013. We find that the AOR which is observable only by the competent Eurosystem...

Persistent link: https://www.econbiz.de/10010818980

Structure in the Italian overnight loan market

Raddant, Matthias - 2012

We analyze the Italian interbank loan market from 1999 until 2010. The analysis of net trade flows shows a high imbalance caused by few large net borrowers in the market. The trading volume shows a significant drop starting in 2007, which accelerates with the Lehman default in late 2008. The...

Persistent link: https://www.econbiz.de/10010286843

Network centrality and funding rates in the e-MID interbank market

Temizsoy, Asena; Iori, Giulia; Montes-Rojas, Gabriel - In: Journal of financial stability 33 (2017), pp. 346-365

Persistent link: https://www.econbiz.de/10011877767

Combining liquidity usage and interest rates on overnight loans: an oversight indicator

Laine, Tatu; Nummelin, Tuomas; Snellman, Heli - Suomen Pankki - 2011

paid on overnight loans. Our aim is to examine how liquidity usage has changed during the years 2006–2/2011 and to combine …

Persistent link: https://www.econbiz.de/10009368523

The role of bank relationships in the interbank market

Temizsoy, Asena; Iori, Giulia; Montes-Rojas, Gabriel - In: Journal of economic dynamics & control 59 (2015), pp. 118-141

Persistent link: https://www.econbiz.de/10011575061

Structure in the Italian overnight loan market

Raddant, Matthias - In: Journal of international money and finance 41 (2014), pp. 197-213

Persistent link: https://www.econbiz.de/10010338696

Structure in the Italian overnight loan market

Raddant, Matthias - In: Journal of International Money and Finance 41 (2014) C, pp. 197-213

We analyze the Italian interbank loan market from 1999 until 2010. The analysis of net trade flows shows a high imbalance caused by a few large net borrowers in the market. The trading volume shows a significant drop starting in 2007, which accelerates with the Lehman default in late 2008. The...

Persistent link: https://www.econbiz.de/10010743974

Structure in the Italian Overnight Loan Market

Raddant, Matthias - Institut für Weltwirtschaft (IfW) - 2012

Persistent link: https://www.econbiz.de/10010886893

Loan and nonloan flows in the Australian interbank network

Sokolov, Andrey; Webster, Rachel; Melatos, Andrew; … - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 9, pp. 2867-2882

transaction are known, which allows us to separate overnight loans from other transactions (nonloans) and reconstruct monetary … transactions are almost exactly counterbalanced by the flows of overnight loans. The correlation coefficient between loan and …

Persistent link: https://www.econbiz.de/10011062480