Similar Search Results

Fundamentals matter : idiosyncratic shocks and interbank relations

Bednarek, Peter; Dinger, Valeriya; Westernhagen, Natalja von - 2015

Our results uncover a so far undocumented ability of the interbank market to distinguish between banks of different quality in times of aggregate distress. We show empirical evidence that during the 2007 financial crisis the inability of some banks to roll over their interbank debt was not due...

Persistent link: https://www.econbiz.de/10011414244

Cross-border liquidity, relationships and monetary policy : evidence from the Euro area interbank crisis

Abbassi, Puriya; Bräuning, Falk; Fecht, Falko; … - 2014 - This version: November 2014

We analyze the impact of financial crises and monetary policy on the supply of wholesale funding liquidity, and also on the compositional supply effects through cross-border and relationship lending. For empirical identification, we draw on the proprietary bank-to-bank European interbank dataset...

Persistent link: https://www.econbiz.de/10010471858

The credit quality channel : modeling contagion in the interbank market

Fink, Kilian; Krüger, Ulrich; Meller, Barbara; Wong, … - 2015

default. In contrast, shocks are transmitted via asset devaluations and deteriorations in the credit quality in our algorithm …: First, the probability of default (PD) of those banks directly affected by some shock increases. This increases the expected …

Persistent link: https://www.econbiz.de/10011381702

Coordination failures, bank runs and asset prices

Bucher, Monika; Dietrich, Diemo; Tvede, Mich - 2018

We study efficiency properties of competitive economies in which banks provide liquidity insurance and interact on secondary asset markets. While all banks are subject to extrinsic risk, a bank's portfolio choice determines whether it is prone to a bank run in one of the extrinsic states. Asset...

Persistent link: https://www.econbiz.de/10011903708

Banks fearing the drought? : liquidity hoarding as a response to idiosyncratic interbank funding dry-ups

Littke, Helge; Ossandon Busch, Matias - 2021

We investigate whether idiosyncratic interbank funding shocks affecting a bank headquarters can trigger a liquidity hoarding reaction by their regional branches. Shock-affected branches of Brazilian banks increase liquid assets and cut lending in the shocks' aftermath compared to non-affected...

Persistent link: https://www.econbiz.de/10012516271

A network analysis of the evolution of the German interbank market

Roukny, Tarik; Georg, Co-Pierre; Battiston, Stefano - 2014

In this paper, we report a descriptive investigation of the structural evolution of two of the most important over-the-counter markets for liquidity in Germany: the interbank market for credit and for derivatives. We use end-of-quarter data from the German large credit register between 2002 and...

Persistent link: https://www.econbiz.de/10010405454

Identifying empty creditors with a shock and micro-data

Degryse, Hans; Gündüz, Yalın; O'Flynn, Kuchulain; … - 2021

Firms with credit-default swaps (CDS) traded on their debt may face "empty creditors" as hedged creditors have less … bank-firm CDS net notional and credit exposures we find that the probability of default for CDS firms drops when the effect … constrained embed the empty creditor effect into their probability of default estimates of affected firms to a larger extent. So …

Persistent link: https://www.econbiz.de/10012697959

The role of interbank relationships and liquidity needs

Craig, Ben R.; Fecht, Falko; Tümer-Alkan, Günseli - 2013

In this paper, we focus on the interconnectedness of banks and the price they pay for liquidity. We assess how the concentration of credit relationships and the position of a bank in the network topology of the system influence the bank’s ability to meet its liquidity demand. We use quarterly...

Persistent link: https://www.econbiz.de/10010238510

How stressed are banks in the interbank market?

Abbassi, Puriya; Fecht, Falko; Weber, Patrick - 2013

We use a unique data set that comprises each bank’s bids in the Eurosystem’s main refinancing operations and its recourse to the LOLR facility (a) to derive banks’ willingness-to-pay for liquidity through a one-week repo and (b) to show that a bank’s willingness-to-pay is a good...

Persistent link: https://www.econbiz.de/10010192732

Asset prices, collateral, and unconventional monetary policy in a DSGE model

Hilberg, Björn; Hollmayr, Josef - 2013

In this paper we set up a New-Keynesian model with a heterogenous banking sector to analyze liquidity problems on the interbank market. The presence of an interbank market is essential to consider a situation where an increased liquidity supply by the central bank is only partially passed on to...

Persistent link: https://www.econbiz.de/10010192797