This paper tests the hypothesis of liquidity hoarding in the Italian banking system during the 2007-2011 global financial crisis. According to this hypothesis, in periods of crisis, interbank markets stop working and central banks’ interventions are ineffective because banks hoard the...

El artículo propone un marco para evaluar el impacto de los colchones de capital a nivel de todo el sistema y a nivel bancario. La evaluación se basa en un modelo FAVAR (Factor-Augmented Vector Autoregression) que relaciona los ajustes bancarios individuales con la dinámica macroeconómica....

The paper proposes a framework for assessing the impact of system-wide and bank-level capital buffers. The assessment rests on a factor-augmented vector autoregression (FAVAR) model that relates individual bank adjustments to macroeconomic dynamics. We estimate FAVAR models individually for...

Using 11 years of monthly Italian bank-by-bank data, this paper matches the bilateral amounts and the identity of each interbank borrower and lender with a large list of explanatory variables. My outcomes show that interbank customer relationships, namely stable and strong relationships between...

This paper analyses the effect of the crisis on central bank's refinancing and interbank market. It uses monthly banking-group data on all banks operating in Italy from the inception of the single Eurosystem monetary policy to August 2011. It investigates both directions of the casual nexus...