Showing 1 - 10 of 3,023
We analyze the impact of financial crises and monetary policy on the supply of wholesale funding liquidity, and also on … on interbank access and volume is stronger than on spreads. Liquidity supply restrictions are exacerbated for cross … price dispersion substantially decreases when the Eurosystem promises unlimited access to liquidity at a fixed price in …
Persistent link: https://www.econbiz.de/10010471858
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/10010192732
-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/10010405454
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/10010238510
We investigate whether idiosyncratic interbank funding shocks affecting a bank headquarters can trigger a liquidity … emergency liquidity. Our findings suggest that the geographical fragmentation of branches' funding limits their ability to …
Persistent link: https://www.econbiz.de/10012516271
We study the role of bargaining power and outside options for the pricing of over-the-counter interbank loans using a bilateral Nash bargaining model and test the model predictions with detailed transaction-level data from the euro-area interbank market. We find that lender banks with greater...
Persistent link: https://www.econbiz.de/10011740274
Persistent link: https://www.econbiz.de/10013259623
We study efficiency properties of competitive economies in which banks provide liquidity insurance and interact on …
Persistent link: https://www.econbiz.de/10011903708
We show that the transmission of the European Central Bank’s (ECB) recent monetary policy tightening differs across banks depending on their level of excess reserves. Specifically, the net worth of reserve-rich banks may display a boost when the interest rate paid on reserves increases...
Persistent link: https://www.econbiz.de/10014481115
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/10010249740