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This paper tests financial contagion due to interbank linkages. For identification we exploit an idiosyncratic, sudden … contagion is higher for banks with weaker fundamentals. Third, interbank linkages among surviving banks further propagate the … linkages act as an important channel of contagion and hold important policy implications. …
Persistent link: https://www.econbiz.de/10011605193
This study develops a novel agent-based model of the interbank market with endogenous credit risk formation mechanisms. We allow banks to exchange funds through unsecured and secured transactions in order to facilitate the flow of funds to the most pro table investment projects. Our model...
Persistent link: https://www.econbiz.de/10012983086
the tools of network analysis it is possible to study how contagion spreads between banks and what is the probability and … impact on contagion probability than real shocks that, however, are long lasting. Additionally I find that monetary policy …
Persistent link: https://www.econbiz.de/10012422094
We study the effect of counterparty risk on the ability of Italian banks to access the foreign unsecured interbank market during the sovereign debt crisis in the second half of 2011. With the onset of the crisis, interest rates in the Italian interbank market soared and foreign lending decreased...
Persistent link: https://www.econbiz.de/10011667217
borrowers, banks are interconnected and then exposed to financial contagion phenomena, even if not directly. In this paper, we … this case, contagion may occur if a bank hit by a liquidity shock calls in some loans and borrowers then pay them back by …
Persistent link: https://www.econbiz.de/10011804404
This paper investigates the effects of interbank rate uncertainty on lending rates to euro area firms. We introduce a novel measure of interbank rate uncertainty, computed as the cross-sectional dispersion in interbank market rates on overnight unsecured loans. Using proprietary bank-level data,...
Persistent link: https://www.econbiz.de/10012142155
This study documents significant differences in the interbank market lending and borrowing levels across countries. We argue that the existing differences in interbank market usage can be explained by the trust of the market participants in the stability of the country's banking sector and...
Persistent link: https://www.econbiz.de/10012422036
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/10011604119
greater need for risk sharing, though, increases the risk of cross-border contagion and the likelihood of widespread banking … crises. However, even though integration increases the risk of contagion it improves welfare if it permits banks to realize …
Persistent link: https://www.econbiz.de/10011605470
This paper tests the hypothesis of liquidity hoarding in the Italian banking system during the 2007-2011 global financial crisis. According to this hypothesis, in periods of crisis, interbank markets stop working and central banks’ interventions are ineffective because banks hoard the...
Persistent link: https://www.econbiz.de/10011605652