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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

Liquidity networks, interconnectedness, and interbank information asymmetry

Brunetti, Celso; Harris, Jeffrey H.; Mankad, Shawn - 2021

Persistent link: https://www.econbiz.de/10012608544

Frictions in the Interbank Market and Uncertain Liquidity Needs : Implications for Monetary Policy Implementation

Bucher, Monika - 2014

This paper shows that depending on the distribution of banks' uncertain liquidity needs and on how monetary policy is …

Persistent link: https://www.econbiz.de/10013048042

Unsecured and secured funding

Di Filippo, Mario; Ranaldo, Angelo; Wrampelmeyer, Jan - 2018

provide more secured loans to replace unsecured lending, which is not consistent with speculative or precautionary liquidity …

Persistent link: https://www.econbiz.de/10011818292

Interbank Risk Assessment – A Simulation Approach

Jager, Maximilian - 2020

We introduce a novel simulation-based network approach, which provides full-fledged distributions of potential interbank losses. Based on those distributions we propose measures for (i) systemic importance of single banks, (ii) vulnerability of single banks, and (iii) vulnerability of the whole...

Persistent link: https://www.econbiz.de/10012836322

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,...