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Cross-border liquidity, relationships and monetary policy : evidence from the Euro area interbank crisis
Abbassi, Puriya; Bräuning, Falk; Fecht, Falko; … - 2014 - This version: November 2014
We analyze the impact of financial crises and monetary policy on the supply of wholesale funding liquidity, and also on the compositional supply effects through cross-border and relationship lending. For empirical identification, we draw on the proprietary bank-to-bank European interbank dataset...
Persistent link: https://www.econbiz.de/10010471858
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The impact of ECBs conventional and unconventional monetary policies on European banking indexes returns
Perdichizzi, Salvatore - 2017
This paper investigates how conventional and unconventional monetary policies announcements affect European banking indexes returns through an event-study analysis. We use data of 11 European banking indexes for the periods 1999-2015. We examine the state dependency of such effects and focus on...
Persistent link: https://www.econbiz.de/10011776487
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The Distribution of Excess Liquidity in the Euro Area
Baldo, Luca - 2017
Since 2008, excess liquidity – defined as the sum of holdings of central bank reserves in excess of reserve requirements and holdings of equivalent central bank deposits – has tended to accumulate in specific euro area countries and in a small, slowly changing group of credit...
Persistent link: https://www.econbiz.de/10012943463
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Cross-Border Liquidity, Relationships and Monetary Policy : Evidence from the Euro Area Interbank Crisis
Abbassi, Puriya - 2016
We analyze the impact of financial crises and monetary policy on the supply of wholesale funding liquidity, and also on the compositional supply effects through cross-border and relationship lending. For empirical identification, we draw on the proprietary bank-to-bank European interbank dataset...
Persistent link: https://www.econbiz.de/10012988708
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Asset encumbrance in euro area banks : analysing trends, drivers and prediction properties for individual bank crises
Berthonnaud, Pierre; Cesati, Enrico; Drudi, Maria Ludovica - 2021
Asset encumbrance is a central concept in the context of banks’ liquidity crises, as it is associated with their capacity to obtain secured funding. This occasional paper summarises the work carried out by the task force on asset encumbrance, bringing together analyses by the ECB and those...
Persistent link: https://www.econbiz.de/10012617772
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The distribution of excess liquidity in the euro area
Baldo, Luca; Hallinger, Benoît; Helmus, Caspar; … - 2017
Since 2008, excess liquidity - defined as the sum of holdings of central bank reserves in excess of reserve requirements and holdings of equivalent central bank deposits - has tended to accumulate in specific euro area countries and in a small, slowly changing group of credit institutions....
Persistent link: https://www.econbiz.de/10011747703
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Structural breaks in the interaction between bank and sovereign default risk
Lovreta, Lidija; López Pascual, Joaquín - In: SERIEs : Journal of the Spanish Economic Association 11 (2020) 4, pp. 531-559
The recent financial and sovereign debt crises emphasized the interdependence between bank and sovereign default risk and showed that major shocks may lead to a self-reinforcing negative spiral. In this paper, we analyse the pattern of interaction between bank and sovereign default risk by...
Persistent link: https://www.econbiz.de/10012389039
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A Factor Model of Securitisation of Sovereign Debt in the European Union
Gottschalk, Sylvia - 2022
This paper investigates the risk implications of securitizing the Eurozone sovereign debt as collateralised debt … obligations (CDO). The proposal of creating asset-backed securities underpinned by Eurozone sovereign bonds has gained traction … since the Eurozone Sovereign Debt Crisis of 2009-2012, and particularly in the aftermath of the Covid-19 pandemic. It is …
Persistent link: https://www.econbiz.de/10013295048
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The dynamics of spillover effects during the European sovereign debt turmoil
Alter, Adrian; Beyer, Andreas - 2012 - This Draft: October 29, 2012
In this paper we develop empirical measures for the strength of spillover effects. Modifying and extending the framework by Diebold and Yilmaz (2011), we quantify spillovers between sovereign credit markets and banks in the euro area. Spillovers are estimated recursively from a vector...
Persistent link: https://www.econbiz.de/10009634313
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"Whatever it takes" to resolve the European sovereign debt crisis? : bond pricing regime switches and monetary policy effects
Afonso, António; Arghyrou, Michael Georgiou; Gadea, … - 2017
This paper investigates the role of unconventional monetary policy as a source of time-variation in the relationship between sovereign bond yield spreads and their fundamental determinants. Our results provide evidence of a new bond-pricing regime following the announcement of the Outright...
Persistent link: https://www.econbiz.de/10011735972