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Banks fearing the drought? : liquidity hoarding as a response to idiosyncratic interbank funding dry-ups
Littke, Helge C. N.; Ossandon Busch, Matias - 2018
asset positions once the aggregate interbank funding market experiences a dry-up. To this regard, we show that liquidity … strategy further helps us to analyse how disruptions in the bank headquarters’ interbank market can lead to liquidity and …
Persistent link: https://www.econbiz.de/10011863972
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Market discipline and liquidity risk : evidence from the interbank funds market
Sarmiento, Miguel - 2016
demand for liquidity in the interbank market as wells as banks' access to this market. Results indicate that riskier banks … pay higher prices and borrow less liquidity, concurrent with the existence of market discipline. More capitalized and … higher prices and hoard liquidity when liquidity positions across them are more imbalanced and during a monetary policy …
Persistent link: https://www.econbiz.de/10011554714
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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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Agent-based model of system-wide implications of funding risk
Hałaj, Grzegorz - 2018
Liquidity has its systemic aspect that is frequently neglected in research and risk management applications. We build a … model that focuses on systemic aspects of liquidity and its links with solvency conditions accounting for pertinent …
Persistent link: https://www.econbiz.de/10011779837
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Network formation with local complements and global substitutes : the case of R&D networks
Hsieh, Chih-sheng; König, Michael D.; Liu, Xiaodong - 2016 - This version: February 15, 2016
We analyze R&D collaboration networks in industries where firms are competitors in the product market. Firms' benefits from collaborations arise by sharing knowledge about a cost-reducing technology. By forming collaborations, however, firms also change their own competitive position in the...
Persistent link: https://www.econbiz.de/10011429537
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Understanding systemic risk : the trade-offs between capital, short-term funding and liquid asset holdings
Gauthier, Céline; He, Zhongfang; Souissi, Moez - 2010
We offer a multi-period systemic risk assessment framework with which to assess recent liquidity and capital regulatory … requirement proposals in a holistic way. Following Morris and Shin (2009), we introduce funding liquidity risk as an endogenous … outcome of the interaction between market liquidity risk, solvency risk, and the funding structure of banks. To assess the …
Persistent link: https://www.econbiz.de/10008728707
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Essays on monetary policy, safe assets, and the repo market
Bechtel, Alexander - 2021
Persistent link: https://www.econbiz.de/10012647998
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International banking and liquidity risk transmission : lessons from across countries
Buch, Claudia M.; Goldberg, Linda S. - 2014
financial crisis. Yet, we know little about the actual magnitudes and mechanisms for transmission of liquidity shocks through … studies conducted in 11 countries to explore liquidity risk transmission. Among the main results is, first, that explanatory … power of the empirical model is higher for domestic lending than for international lending. Second, how liquidity risk …
Persistent link: https://www.econbiz.de/10010393856
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International banking and liquidity risk transmission : lessons from across countries
Buch, Claudia M.; Goldberg, Linda S. - 2014
financial crisis. Yet we know little about the actual magnitudes and mechanisms for transmission of liquidity shocks through … studies conducted in eleven countries to explore liquidity risk transmission. Among the main results is, first, that … explanatory power of the empirical model is higher for domestic lending than for international lending. Second, how liquidity risk …
Persistent link: https://www.econbiz.de/10010404142
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Fundamentals matter : idiosyncratic shocks and interbank relations
Bednarek, Peter; Dinger, Valeriya; Westernhagen, Natalja von - 2015
shocks affecting banks’ capital, liquidity and credit quality as well as revised banklevel risk perceptions. Relationship …
Persistent link: https://www.econbiz.de/10011414244