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Market discipline and liquidity risk : evidence from the interbank funds market
Sarmiento, Miguel - 2016
This paper identifies bank-specific-characteristics and market conditions that contribute to determine prices and 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...
Persistent link: https://www.econbiz.de/10011554714
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LIBOR : origins, economics, crisis, scandal, and reform
Hou, David; Skeie, David - 2014
The London Interbank Offered Rate (LIBOR) is a widely used indicator of funding conditions in the interbank market. As … of 2013, LIBOR underpins more than $300 trillion of financial contracts, including swaps and futures, in addition to … trillions more in variable-rate mortgage and student loans. LIBOR's volatile behavior during the financial crisis provoked …
Persistent link: https://www.econbiz.de/10010393220
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The Interbank Market after the Financial Turmoil : Squeezing Liquidity in a 'Lemons Market' or Asking Liquidity 'on Tap'
De Socio, Antonio - 2013
After August 2007 the plumbing system that supplied banks with wholesale funding, the interbank market, failed because toxic assets obstructed the pipes. Banks were forced to squeeze liquidity in a 'lemons market' or to ask for liquidity 'on tap' from central banks. This paper disentangles the...
Persistent link: https://www.econbiz.de/10013092137
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Liquidity Crunch in the Interbank Market : Is it Credit or Liquidity Risk, or Both
Baglioni, Angelo S. - 2009
The interplay between liquidity and credit risks in the interbank market is analyzed. Banks are hit by idiosyncratic random liquidity shocks. The market may also be hit by a bad news at a future date, implying the insolvency of some participants and creating a lemon problem; this may end up with...
Persistent link: https://www.econbiz.de/10013157869
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Bad Sovereign or Bad Balance Sheets? Euro Interbank Market Fragmentation and Monetary Policy, 2011-2015
Gabrieli, Silvia - 2019
We measure the relative role of sovereign-dependence risk and balance sheet (credit) risk in euro area interbank market fragmentation from 2011 to 2015. We combine bank-to-bank loan data with detailed supervisory information on banks’ cross-border and cross-sector exposures. We study the...
Persistent link: https://www.econbiz.de/10012894210
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Bank Liquidity and the Interbank Market
Jensen, Mikael - 2015
Banks exchange liquidity in the money market to absorb payment shocks. In a well-functioning market, banks in need of liquidity should not pay a premium when borrowing. We combine data on bank reserves at the central bank and interest rates paid in the money market to study how bank liquidity...
Persistent link: https://www.econbiz.de/10013016087
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Bad Sovereign or Bad Balance Sheets? Euro Area Interbank Fragmentation and Monetary Policy, 2011-15
Gabrieli, Silvia - 2018
Does the funding cost differential between peripheral and non-peripheral European banks reflect poor quality of banks' assets (credit risk)? Or the quality of sovereign support in case of failure (sovereign-dependence risk)? Combining bank-to-bank loan data with supervisory information on banks'...
Persistent link: https://www.econbiz.de/10012923349
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The impact of exogenous liquidity shocks on banks funding costs : microevidence from the unsecured interbank market
Sarmiento, Miguel - 2019 - second version: January 2019
This paper examines the impact of exogenous liquidity shocks in the unsecured interbank market. We evaluate the effects of idiosyncratic liquidity shocks - arising from deposits outflow at the bank level - and of the aggregate liquidity shock related to the U.S. tapering observed between May and...
Persistent link: https://www.econbiz.de/10011958312
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Unsecured and secured funding
Di Filippo, Mario; Ranaldo, Angelo; Wrampelmeyer, Jan - 2018
We empirically investigate why wholesale funding is fragile by providing the first study of how individual banks borrow and lend in the euro unsecured and secured interbank market. Consistent with theories in which lenders enforce market discipline by monitoring counterparty credit risk and...
Persistent link: https://www.econbiz.de/10011818292
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Bad Sovereign or Bad Balance Sheets? Euro Interbank Market Fragmentation and Monetary Policy, 2011-2015
Gabrieli, Silvia - 2018
We measure the relative role of sovereign-dependence risk and balance sheet (credit) risk in euro area interbank market fragmentation from 2011 to 2015. We combine bank-to-bank loan data with detailed supervisory information on banks' cross-border and cross-sector exposures. We study the impact...
Persistent link: https://www.econbiz.de/10012913584