-specific risks during the crisis. The regression results suggest that counter-party credit risk increased the difference across the … markets, while liquidity risk caused the difference across the currency denominations. They also support the view that a … central bank liquidity provisions were useful in reducing liquidity risk in the US dollar transactions. But their …

, when counterparty risk poses systemic risk to the interbank market, the central bank should focus on providing interbank …

tightening. Besides, small banks are found to suffer more as their credit risk and liquidity risk increase. We show that lending … relationships benefit banks in hedging liquidity risk. We also document that central bank liquidity increments are associated with a …

turn, banks hoard liquidity and decrease term lending as their rollover risk increases over the term of the loan. High …

turn, banks hoard liquidity and decrease term lending as their rollover risk increases over the term of the loan. High …, inter-bank markets can completely freeze. -- inter-bank lending ; financial crisis ; precautionary demand ; rollover risk …

Did the increase in counterparty risk perception in the interbank market since autumn 2007 contribute to the severe …

liquidity risk, credit risk (financial and sovereign), and interest rate expectations. Our results suggest that liquidity risk … is the main determinant of the volatility of the policy spread, but also that private bank credit risk has become more … fears. In addition, the ECB appears to have been more effective in addressing liquidity risk since the onset of the crisis …