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The structure and resilience of the European interbank market
Alves, Ivan; Ferrari, Stijn; Franchini, Pietro; Heam, … - 2013
' connections may result in efficient risk transfer. But in crises, connections can facilitate contagion - as initial problems lead … reluctant to lend to each other and hoard liquidity. Potential for contagion due to interconnectedness is a key component of … systemic risk. As a first step towards understanding the mechanisms of contagion, this paper abstracts from complex indirect …
Persistent link: https://www.econbiz.de/10011971555
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Multiplex interbank networks and systemic importance : an application to European data
Aldasoro, Iñaki; Alves, Iván - 2016
Research on interbank networks and systemic importance is starting to recognise that the web of exposures linking banks balance sheets is more complex than the single-layer-of-exposure approach. We use data on exposures between large European banks broken down by both maturity and instrument...
Persistent link: https://www.econbiz.de/10011975150
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Double bank runs and liquidity risk management
Ippolito, Filippo; Peydró, José-Luis; Polo, Andrea; … - 2016
By providing liquidity to depositors and credit line borrowers, banks are exposed to doubleruns on assets and liabilities. For identification, we exploit the 2007 freeze of the European interbank market and the Italian Credit Register. After the shock, there are sizeable, aggregate double-runs....
Persistent link: https://www.econbiz.de/10011974718
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Simulating fire-sales in a banking and shadow banking system
Calimani, Susanna; Hałaj, Grzegorz; Żochowski, Dawid - 2017
contagion of shocks to asset prices within and between the two financial sectors, including the effects of fire sales and their …. Second, higher bank capital requirements may aggravate contagion since they may incentivise banks to hold similar assets, and … managers absorb small liquidity shocks but they exacerbate contagion when liquid buffers are fully utilised. …
Persistent link: https://www.econbiz.de/10011976961
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The role of contagion in the transmission of financial stress
Herculano, Miguel C. - 2018
I examine the relevance of contagion in explaining financial distress in the US banking system by identifying the … component of bank level probabilities that is due to contagion. Identification is achieved after controlling for macrofinancial … and bank specific shocks that have similar consequences to contagion. I use a Bayesian spatial autoregressive model that …
Persistent link: https://www.econbiz.de/10011978772
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Liquidity in resolution : estimating possible liquidity gaps for specific banks in resolution and in a systemic crisis
Amamou, Raschid; Baumann, Andreas; Chalamandaris, Dimitrios - 2020
This paper contributes to the debate on liquidity in resolution by providing a quantitative assessment of liquidity gaps of banks in resolution in the euro area. It estimates possible ranges of liquidity gaps for significant banks under different assumptions and scenarios. The findings suggest...
Persistent link: https://www.econbiz.de/10012313295
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Systemic illiquidity in the interbank network
Ferrara, Gerardo; Langfield, Sam; Liu, Zijun; Ota, Tomohiro - 2018
We study systemic illiquidity using a unique dataset on banks' daily cash flows, short-term interbank funding and liquid asset buffers. Failure to roll-over short-term funding or repay obligations when they fall due generates an externality in the form of systemic illiquidity. We simulate a...
Persistent link: https://www.econbiz.de/10011978830
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A dynamic network model to measure exposure diversification in the Austrian interbank market
Hledik, Juraj; Rastelli, Riccardo - 2020
We design a statistical model for measuring the homogeneity of a financial network that evolves over time. Our model focuses on the level of diversi- fication of financial institutions; that is, whether they are more inclined to distribute their assets equally among partners, or if they rather...
Persistent link: https://www.econbiz.de/10012200823
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The availability and cost of short-term trade finance and its impact on trade
Korinek, Jane; Le Cocguic, Jean; Sourdin, Patricia - 2010
Persistent link: https://www.econbiz.de/10003993534
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Compressing over-the-counter markets
D'Errico, Marco; Roukny, Tarik - 2017
In this paper, we show both theoretically and empirically that the size of over-the-counter (OTC) markets can be reduced without affecting individual net positions. First, we find that the networked nature of these markets generates an excess of notional obligations between the aggregate gross...
Persistent link: https://www.econbiz.de/10011976943