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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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Interbank funding as insurance mechanism for (persistent) liquidity shocks
Bluhm, Marcel - 2015
The interbank market is important for the efficient functioning of the financial system, transmission of monetary policy and therefore ultimately the real economy. In particular, it facilitates banks' liquidity management. This paper aims at extending the literature which views interbank markets...
Persistent link: https://www.econbiz.de/10011434764
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Repo Market – A Tool to Manage Liquidity in Financial Institutions
Nath, Golaka C. - 2015
Repo is used in India as an instrument for monetary policy by institutionalizing daily Liquidity Adjustment Facility (LAF) which allows banks and Primary Dealers to manage their liquidity needs. Liquidity stress in the market has an impact on the short term interest rate. Entities not having...
Persistent link: https://www.econbiz.de/10013034702
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The Microstructure of the Money Market Before and after the Financial Crisis : A Network Perspective
Gabrieli, Silvia - 2014
This paper provides a detailed microstructure analysis of the euro money market by taking a network perspective. Banks are the nodes of the networks; overnight unsecured loans form the links connecting the nodes. The static analysis of network indicators confirms a number of stylised facts...
Persistent link: https://www.econbiz.de/10013068756
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Fund fragility : the role of investor base
Allaire, Nolwenn; Breckenfelder, Johannes; Hoerova, Marie - 2023
Using security-by-security data on investor holdings in the euro area, we study run dynamics across different fund-shares of the same fund during the unprecedented liquidity crisis in March 2020. For an average bond or equity mutual fund-share, households, other euro area funds, and the foreign...
Persistent link: https://www.econbiz.de/10014482949
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The sterling unsecured loan market during 2006 - 08 : insights from network theory
Wetherilt, Anne; Zimmerman, Peter; Soramäki, Kimmo - 2010
We model the unsecured overnight market in the United Kingdom as a network of relationships and examine how the structure has changed over the recent period of crisis. Using established network techniques, we find strong evidence of the existence of a core of highly connected banks alongside a...
Persistent link: https://www.econbiz.de/10003989523
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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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On the role of market makers for money market liquidity and tensions
Fecht, Falko; Reitz, Stefan; Weber, Patrick - 2015
We analyze the trading book of a key market maker in the European unsecured money market and study the extent to which liquidity risks accumulated by this market maker affect his pricing of liquidity and the bid/ask spread he quotes on unsecured borrowing and lending. We find that the larger the...
Persistent link: https://www.econbiz.de/10011382521
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Sovereign contagion in Europe : evidence from the CDS market
Manasse, Paolo; Zavalloni, Luca - 2013
This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent … matter concerning the Euro Zone. Second, differences in vulnerability to contagion within the Eurozone are even more … remarkable: the core Eurozone members become less vulnerable to EUZ contagion, possibly due to a safe-heaven effect, while …
Persistent link: https://www.econbiz.de/10011731038
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A Leverage-Based Measure of Financial Stability
Adrian, Tobias - 2018
The size and the leverage of financial market investors and the elasticity of demand of unlevered investors define MinMaSS, the smallest market size that can support a given degree of leverage. The financial system's potential for financial crises can be measured by the stability ratio, the...
Persistent link: https://www.econbiz.de/10012927780