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On the optimal control of interbank contagion in the euro area banking system
Fukker, Gábor; Kok Sørensen, Christoffer - 2021
modelling framework could be used both as a crisis management tool to help inform decisions on capital/liquidity infusions in …
Persistent link: https://www.econbiz.de/10012519357
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Central bank refinancing, interbank markets and the hypothesis of liquidity hoarding : evidence from a euro-area banking system
Affinito, Massimiliano - 2013
Persistent link: https://www.econbiz.de/10010210581
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Money markets, central bank balance sheet and regulation
Corradin, Stefano; Eisenschmidt, Jens; Hoerova, Marie; … - 2020
with new Basel III regulations and with central bank policies (liquidity provision, asset purchases and the Securities … with worsening money market conditions, while higher central bank liquidity provision was associated with reduced money …
Persistent link: https://www.econbiz.de/10012301955
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Unconventional monetary policy and funding liquidity risk
Avernas, Adrien d'; Vandeweyer, Quentin; Darracq … - 2020
This paper investigates the efficiency of various monetary policy instruments to stabilize asset prices in a liquidity … dynamics. Increasing the supply of reserves reduces liquidity risk in the traditional banking sector, but fails to reach the …
Persistent link: https://www.econbiz.de/10012137673
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Liquidity provision as a monetary policy tool : the ECB's non-standard measures after the financial crisis
Quint, Dominic; Tristani, Oreste - 2017
area. In a structural VAR, we identify a liquidity shock rooted in the interbank market and use its impulse response … Gertler and Kiyotaki (2010). We highlight two main results. First, an identi.ed liquidity shock causes a sizable and … in 2008.09. Second, the liquidity injected in the market by the ECB played an important role in attenuating the …
Persistent link: https://www.econbiz.de/10011754899
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Interbank rate uncertainty and bank lending
Altavilla, Carlo; Carboni, Giacomo; Lenza, Michele; … - 2019
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/10012059036
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Bank contagion in general equilibrium
Ferrari, Massimo Minesso - 2020
In this paper, I incorporate a complex network model into a state of the art stochastic general equilibrium framework with an active interbank market. Banks exchange funds one another generating a complex web of interbanking relations. With the tools of network analysis it is possible to study...
Persistent link: https://www.econbiz.de/10012241220
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Lending-of-last-resort is as lending-of-last-resort does : central bank liquidity provision and interbank market functioning in the euro area
Garcia de Andoain, Carlos; Heider, Florian; Hoerova, Marie - 2016
Persistent link: https://www.econbiz.de/10011448928
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Assessing interbank contagion using simulated networks
Hałaj, Grzegorz; Kok Sørensen, Christoffer - 2013
Persistent link: https://www.econbiz.de/10009765565
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Monetary policy and cross-border interbank market fragmentation : lessons from the crisis
Blattner, Tobias Sebastian; Swarbrick, Jonathan M. - 2018
We present a two-country model with an enhanced banking sector featuring risky lending and cross-border interbank market frictions. We find that (i) the strength of the financial accelerator, when applied to banks operating under uncertainty in an interbank market, will critically depend on the...
Persistent link: https://www.econbiz.de/10011813496