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Monetary policy transmission with interbank market fragmentation

Vari, Miklos - 2017

This paper shows how interbank market fragmentation disrupts the transmission of monetary policy. Fragmentation is the fact that banks, depending on their country of location, have different probabilities of default on their interbank borrowings. Once fragmentation is introduced into standard...

Persistent link: https://www.econbiz.de/10012972366

Credit and Liquidity in Interbank Rates : A Quadratic Approach

Dubecq, Simon - 2016

In this paper, we propose a quadratic term-structure model of the EURIBOR-OIS spreads. As opposed to OIS, EURIBOR rates incorporate credit and liquidity risks. Indeed, a bank that lends on the unsecured market requires compensations for facing (a) the risk of default of the borrowing bank and...

Persistent link: https://www.econbiz.de/10013007148

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

Liquidity Shocks, Market Discipline and Liquidity Risk : Evidence from the Interbank Market

Sarmiento, Miguel - 2018

This paper examines the impact of exogenous liquidity shocks on banks borrowing funds in the 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...

Persistent link: https://www.econbiz.de/10012921314

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

What Drives Interbank Loans? Evidence from Canada

Bulusu, Narayan - 2018

We find that collateral reallocation costs are a significant driver of the dynamics of overnight interbank loans. The cost of negotiating and settling collateralized over-the-counter trades incentivizes the temporary use of unsecured loans to meet changes in short-term liquidity needs, as well...

Persistent link: https://www.econbiz.de/10012933821

Peer M´monitoring vs. search costs in the interbank market : evidence from payment flow data in Norway

Findreng, Jon - 2021

Bilateral payment flows between banks may provide private information about a borrowing bank's liquidity position. This paper analyses whether private information on the bilateral payment flow of central bank reserves foster peer monitoring or whether the information is used to reduce search...

Persistent link: https://www.econbiz.de/10012544439

Risk Managing the LIBOR Transition

Albanese, Claudio; Iabichino, Stefano; Mammola, Paolo - 2021

By halting the LIBOR's publication, large volumes of fixed income securities, from loans to derivatives, will fall back … Adjustment (FVA) reset amounts. Our proposal accomplishes the LIBOR indexing’s mandate of transferring banks’ funding risk to … counterparties more accurately and robustly than the LIBOR itself while being objective and legally robust. We conclude that the …

Persistent link: https://www.econbiz.de/10013244857

Fixing the Fixings : What Road to a More Representative Money Market Benchmark?

Brousseau, Vincent - 2013

, are mostly indexed on Libor and Euribor benchmarks, as are hundreds of billions in loans to enterprises, mortgages and …

Persistent link: https://www.econbiz.de/10013080448

Inferring Interbank Loans and Interest Rates from Interbank Payments - An Evaluation

Akram, Qaisar Farooq - 2014

We investigate whether overnight interbank loans and interest rates can be reliably inferred at the market and bank level from central banks' interbank payments data. We identify overnight loans and interest rates among interbank payments for 11 banks in Norway and compare them with the actual...

Persistent link: https://www.econbiz.de/10013060377