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Lender of last resort versus buyer of last resort : the impact of the European Central Bank actions on the bank-sovereign nexus

Acharya, Viral V.; Pierret, Diane; Steffen, Sascha - 2016 - This version: February 29, 2016

In summer 2011, elevated sovereign risk in Eurozone peripheral countries increased the solvency risk of Eurozone banks … public funds to increase their exposure to risky domestic debt, so that when solvency risk in the Eurozone worsened the run … of private short-term investors from Eurozone banks intensified. (ii) In contrast, ECB’s announcement of being a …

Persistent link: https://www.econbiz.de/10011436391

Investor Information Acquisition and Money Market Fund Risk Rebalancing During the 2011-12 Eurozone Crisis

Gallagher, Emily - 2019

Eurozone crisis. We find that sophisticated investors selectively acquire information about MMFs' risk exposures to Europe …

Persistent link: https://www.econbiz.de/10012902532

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 banksâ€™ cross-border and cross-sector exposures. We study the...

Persistent link: https://www.econbiz.de/10012894210

Stressed Interbank Markets : Evidence from the European Financial and Sovereign Debt Crisis

Frutos de Andres, Juan Carlos - 2016

This paper documents stress in the unsecured overnight interbank market in the euro area over the course of the financial and sovereign debt crisis in Europe. We find that stress i) leads some banks to borrow in the market at rates that are higher than the rate of the marginal lending facility...

Persistent link: https://www.econbiz.de/10012987868

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

International Financial Integration, Crises, and Monetary Policy : Evidence from the Euro Area Interbank Crises

Abbassi, Puriya - 2017

We analyze how financial crises affect international financial integration, exploiting euro area proprietary interbank data, crisis and monetary policy shocks, and variation in loan terms to the same borrower on the same day by domestic versus foreign lenders. Crisis shocks reduce the supply of...

Persistent link: https://www.econbiz.de/10012948677

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

On the Optimal Control of Interbank Contagion in the Euro Area Banking System

Fukker, Gábor; Kok, Christoffer - 2021

In this paper we present a methodology of model-based calibration of additional capital needed in an interconnected financial system to minimize potential contagion losses. Building on ideas from combinatorial optimization tailored to controlling contagion in case of complete information about...

Persistent link: https://www.econbiz.de/10013226863

Investor Information and Bank Instability During the Euro Crisis

Iorgova, Silvia; Ross, Chase P. - 2021

Outside of financial crises, investors have little incentive to produce private information on banks' short-term liabilities held as information-insensitive safe assets. The same does not hold true during crises. We measure daily information production using data from credit default swap spreads...

Persistent link: https://www.econbiz.de/10013243048

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