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Interconnectedness of the banking sector as a vulnerability to crises
Peltonen, Tuomo; Rancan, Michela; Sarlin, Peter - 2015
Persistent link: https://www.econbiz.de/10011448485
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Banking euro area stress test model
Budnik, Katarzyna; Mozzanica, Mirco Balatti; Dimitrov, Ivan - 2020
in line with the economic conditions they face. Bank responses feed back to the macroeconomic environment affecting …
Persistent link: https://www.econbiz.de/10012286943
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Liquidity risk premia in unsecured interbank money markets
Eisenschmidt, Jens; Tapking, Jens - 2009
Unsecured interbank money market rates such as the Euribor increased strongly with the start of the financial market turbulences in August 2007. There is clear evidence that these rates reached levels that cannot be explained alone by higher credit risk. This article presents this evidence and...
Persistent link: https://www.econbiz.de/10003832311
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Bidding behaviour in the ECB's main refinancing operations during the financial crisis
Eisenschmidt, Jens; Hirsch, Astrid; Linzert, Tobias - 2009
Liquidity provision through its repo auctions has been one of the main instruments of the European Central Bank (ECB …. -- Central Bank Auctions ; Financial Market Turmoil ; Panel Sample Selection Model ; Bidding Behavior ; Monetary Policy …
Persistent link: https://www.econbiz.de/10003866003
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Liquidity hoarding and interbank market spreads : the role of counterparty risk
Heider, Florian; Hoerova, Marie; Holthausen, Cornelia - 2009
We study the functioning and possible breakdown of the interbank market in the presence of counterparty risk. We allow banks to have private information about the risk of their assets. We show how banks’ asset risk affects funding liquidity in the interbank market. Several interbank market...
Persistent link: https://www.econbiz.de/10003969274
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The 2007 subprime market crisis through the lens of European Central Bank auctions for short-term funds
Cassola, Nuno; Hortaçsu, Ali; Kastl, Jakub - 2011
bidding data from the European Central Bank's auctions for one-week loans, their main channel of monetary policy …-based measures of bank performance, suggesting the external validity of our findings. - Multiunit auctions ; primary market …
Persistent link: https://www.econbiz.de/10009380433
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The minimum liquidity deficit and the maturity structure of central banks' open market operations : lessons from the financial crisis
Eisenschmidt, Jens; Holthausen, Cornelia - 2010
bank and auction rates in its open market operations in times of financial market stress. In a theoretical model, it is … found that marginal rates at central bank auctions may increase if the share of troubled banks becomes too high relative to … market operations needed to absorb large stress levels in interbank money markets and hence contain central bank auction …
Persistent link: https://www.econbiz.de/10008771777
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Lenders on the storm of wholesale funding shocks: Saved by the central bank?
Haan, Leo de; Vermeulen, Philip; End, Jan-Willem van den - 2016
Persistent link: https://www.econbiz.de/10011448911
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On the optimal control of interbank contagion in the euro area banking system
Fukker, Gábor; Kok Sørensen, Christoffer - 2021
In this paper we present a methodology of model-based calibration of additional capital needed in an interconnected financial system to minimize potential contagion losses. Building on ideas from combinatorial optimization tailored to controlling contagion in case of complete information about...
Persistent link: https://www.econbiz.de/10012519357
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Shock amplification in an interconnected financial system of banks and investment funds
Sydow, Matthias; Schilte, Aurore; Covi, Giovanni; … - 2021
This paper shows how the combined endogenous reaction of banks and investment funds to an exogenous shock can amplify or dampen losses to the financial system compared to results from single-sector stress testing models. We build a new model of contagion propagation using a very large and...
Persistent link: https://www.econbiz.de/10012603035