Narrow search
Showing 1 - 10 of 203
Cover Image
A network analysis of the evolution of the German interbank market
Roukny, Tarik; Georg, Co-Pierre; Battiston, Stefano - Deutsche Bundesbank - 2014
-the-counter markets for liquidity in Germany: the interbank market for credit and for derivatives. We use end-of-quarter data from the …
Persistent link: https://www.econbiz.de/10010957124
Cover Image
The role of interbank relationships and liquidity needs
Craig, Ben R.; Fecht, Falko; Tümer-Alkan, Günseli - Deutsche Bundesbank - 2013
In this paper, we focus on the interconnectedness of banks and the price they pay for liquidity. We assess how the … to meet its liquidity demand. We use quarterly data of bilateral interbank credit exposures between all German banks from …'s willingness to pay for liquidity since they had variable rate tenders with a 'pay-your-bid' price. Controlling for bank …
Persistent link: https://www.econbiz.de/10010984730
Cover Image
Filling in the blanks: Network structure and interbank contagion
Anand, Kartik; Craig, Ben; von Peter, Goetz - Deutsche Bundesbank - 2014
The pattern of financial linkages is important in many areas of banking and finance. Yet bilateral linkages are often unknown, and maximum entropy serves as the leading method for estimating unobserved counterparty exposures. This paper proposes an efficient alternative that combines...
Persistent link: https://www.econbiz.de/10010957084
Cover Image
Contagious herding and endogenous network formation in financial networks
Georg, Co-Pierre - Deutsche Bundesbank - 2014
When banks choose similar investment strategies, the financial system becomes vulnerable to common shocks. Banks decide about their investment strategy ex-ante based on a private belief about the state of the world and a social belief formed from observing the actions of peers. When the social...
Persistent link: https://www.econbiz.de/10010957146
Cover Image
Interbank tiering and money center banks
Craig, Ben R.; von Peter, Goetz - Deutsche Bundesbank - 2010
This paper provides evidence that interbank markets are tiered rather than flat, in the sense that most banks do not lend to each other directly but through money center banks acting as intermediaries. We capture the concept of tiering by developing a core-periphery model, and devise a procedure...
Persistent link: https://www.econbiz.de/10008833259
Cover Image
A network view on interbank market freezes
Gabrieli, Silvia; Georg, Co-Pierre - Deutsche Bundesbank - 2014
We study the liquidity allocation among European banks around the Lehman insolvency using a novel dataset of all … segment become sensitive to counterparty characteristics and banks start hoarding liquidity by shortening the maturity of … their interbank lending. This aggregate change in liquidity reallocation is accompanied by a substantial structural change …
Persistent link: https://www.econbiz.de/10011161231
Cover Image
The SSM at 1
Laeven, Luc; Draghi, Mario; Dombret, Andreas R.; … - SUERF - The European Money and Finance Forum; Deutsche …; … - 2016
On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...
Persistent link: https://www.econbiz.de/10011557140
Cover Image
How stressed are banks in the interbank market?
Abbassi, Puriya; Fecht, Falko; Weber, Patrick - Deutsche Bundesbank - 2013
recourse to the LOLR facility (a) to derive banks' willingness-to-pay for liquidity through a one-week repo and (b) to show … results suggest (i) that banks' willingness-to-pay for liquidity indeed reflects refinancing conditions in the interbank …
Persistent link: https://www.econbiz.de/10010957097
Cover Image
International banking and liquidity risk transmission: Lessons from across countries
Buch, Claudia M.; Goldberg, Linda - Deutsche Bundesbank - 2014
financial crisis. Yet, we know little about the actual magnitudes and mechanisms for transmission of liquidity shocks through … studies conducted in 11 countries to explore liquidity risk transmission. Among the main results is, first, that explanatory … power of the empirical model is higher for domestic lending than for international lending. Second, how liquidity risk …
Persistent link: https://www.econbiz.de/10010957099
Cover Image
Maturity shortening and market failure
Thierfelder, Felix - Deutsche Bundesbank - 2012
Motivated by the financial crisis of 2007-2009 several papers have provided explanations for why liquidity may dry up … during market stress. This paper also looks at this issue but focuses on the question as to why the liquidity crunch was not … need to provide longer-term liquidity. The paper asks what market failure central banks were addressing by intervening and …
Persistent link: https://www.econbiz.de/10010957159