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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

An affine multifactor model with macro factors for the German term structure: Changing results during the recent crises

Halberstadt, Arne; Stapf, Jelena - Deutsche Bundesbank - 2012

less at the short end as compared to longer maturities in times of crisis. A liquidity stress factor included in the macro …

Persistent link: https://www.econbiz.de/10010957117

Contagion in the interbank market and its determinants

Memmel, Christoph; Sachs, Angelika - Deutsche Bundesbank - 2011

Carrying out interbank contagion simulations for the German banking sector for the period from the first quarter of 2008 to the second quarter of 2011, we obtain the following results: (i) The system becomes less vulnerable to direct interbank contagion over time. (ii) The loss distribution for...

Persistent link: https://www.econbiz.de/10010954917

Financial integration and systemic risk

Fecht, Falko; Grüner, Hans Peter - Deutsche Bundesbank - 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/10005082767

The eurosystem money market auctions: a banking perspective

Bartzsch, Nikolaus; Craig, Ben R.; Fecht, Falko - Deutsche Bundesbank - 2005

characteristics of the individual banks into account. In particular, we consider variable that capture the different use of liquidity … and the different attitude towards liquidity risk of the individual banks. It turns out that these characteristics are … the way liquidity risk is managed in the banking sctor. …

Persistent link: https://www.econbiz.de/10005082791

Welfare effects of financial integration

Hartmann, Philipp; Grüner, Hans Peter; Fecht, Falko - Deutsche Bundesbank - 2007

secured interbank market is an optimal risk-sharing device when banks report liquidity needs truthfully. It allows … diversification without the risk of cross-regional financial contagion. However, free-riding on the liquidity provision in this market …

Persistent link: https://www.econbiz.de/10005082792

Estimating Bilateral Exposures in the German Interbank Market: Is there a Danger of Contagion?

Upper, Christian; Worms, Andreas - Deutsche Bundesbank - 2002

Credit risk associated with interbank lending may lead to domino effects, where the failure of one bank results in the failure of other banks not directly affected by the initial shock. Recent work in economic theory shows that this risk of contagion depends on the precise pattern of interbank...

Persistent link: https://www.econbiz.de/10005083183

Financial integration, specialization and systemic risk

Fecht, Falko; Grüner, Hans Peter; Hartmann, Philipp - Deutsche Bundesbank - 2008

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/10005083185

Interbank lending and monetary policy transmission: evidence for Germany

Ehrmann, Michael; Worms, Andreas - Deutsche Bundesbank - 2001

This paper presents empirical evidence on the behaviour of interbank lending in Germany after a monetary policy impulse. Our VAR analysis shows that following a monetary contraction, the banking system as a whole attracts additional funds from foreign banks. Whereas small cooperative and savings...

Persistent link: https://www.econbiz.de/10005083202

Substitution between net and gross settlement systems: A concern for financial stability?

Craig, Ben; Fecht, Falko - Deutsche Bundesbank - 2011

While net settlement systems make more efficient use of liquidity than gross settlement systems, they are known to … settlement systems coexist? Do liquidity shortages induce banks to settle more transactions in net settlement system, thereby … risks are high, increasing the need for liquidity and the money market rate but reducing overall systemic risk? This paper …

Persistent link: https://www.econbiz.de/10009283653