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The Price of Liquidity: Bank Characteristics and Market Conditions

Fecht, Falko; Nyborg, Kjell G; Rocholl, Jörg - C.E.P.R. Discussion Papers - 2010

We identify frictions in the market for liquidity as well as bank-specific and market-wide factors that affect the … prices that banks pay for liquidity, captured here by borrowing rates in repos with the central bank and benchmarked by the … overnight index swap. We have price data at the individual bank level and, unique to this paper, data on individual banks …

Persistent link: https://www.econbiz.de/10008530368

Financial Integration and Systemic Risk

Fecht, Falko; Grüner, Hans Peter - C.E.P.R. Discussion Papers - 2005

Recent empirical studies criticize the sluggish financial integration in the euro area and find that only interbank money markets are fully integrated so far. This paper studies the optimal regional and/or sectoral integration of financial systems given that integration is restricted to the...

Persistent link: https://www.econbiz.de/10005497717

Cross-Border Liquidity, Relationships and Monetary Policy: Evidence from the Euro Area Interbank Crisis

Abbassi, Puriya; Bräuning, Falk; Fecht, Falko; … - C.E.P.R. Discussion Papers - 2015

the proprietary bank-to-bank European interbank dataset extracted from Target2 and also exploit the Lehman and sovereign …

Persistent link: https://www.econbiz.de/10011196038

Financial Integration, Specialization, and Systemic Risk

Fecht, Falko; Grüner, Hans Peter; Hartmann, Philipp - C.E.P.R. Discussion Papers - 2012

This paper studies the implications of cross-border financial integration for financial stability when banks' loan portfolios adjust endogenously. Banks can be subject to sectoral and aggregate domestic shocks. After integration they can share these risks in a complete interbank market. When...

Persistent link: https://www.econbiz.de/10011083631