Narrow search
Showing 141 - 150 of 955,782
Cover Image
Contagion risk in the interbank market : a probabilistic approach to cope with incomplete structural information
Montagna, Mattia; Lux, Thomas - 2014
Banks have become increasingly interconnected via interbank credit and other forms of liabilities. As a consequence of the increased interconnectedness, the failure of one node in the interbank network might constitute a threat to the survival of large parts of the entire system. How important...
Persistent link: https://www.econbiz.de/10010373653
Cover Image
Friendship between banks : an application of an actor-oriented model of network formation on interbank credit relations
Finger, Karl; Lux, Thomas - 2014
This paper investigates the driving forces behind banks' link formation in the interbank market by applying the stochastic actor oriented model (SAOM) developed in sociology. Our data consists of quarterly networks constructed from the transactions on an electronic platform (e-MID) over the...
Persistent link: https://www.econbiz.de/10010406423
Cover Image
Contagion risk in the interbank market : a probabilistic approach to cope with incomplete structural information
Montagna, Mattia; Lux, Thomas - 2014
Banks have become increasingly interconnected via interbank credit and other forms of liabilities. As a consequence of the increased interconnectedness, the failure of one node in the interbank network might constitute a threat to the survival of large parts of the entire system. How important...
Persistent link: https://www.econbiz.de/10010406753
Cover Image
A detrimental feedback loop : deleveraging and adverse selection
Bertsch, Christoph - 2013
' long-term leverage choices and an "interim" inefficiency because it distorts agents' short-term liquidity management. I …
Persistent link: https://www.econbiz.de/10010202960
Cover Image
Interbank Risk Assessment – A Simulation Approach
Jager, Maximilian - 2020
We introduce a novel simulation-based network approach, which provides full-fledged distributions of potential interbank losses. Based on those distributions we propose measures for (i) systemic importance of single banks, (ii) vulnerability of single banks, and (iii) vulnerability of the whole...
Persistent link: https://www.econbiz.de/10012836322
Cover Image
Relationship Lending in the Interbank Market and the Price of Liquidity
Bräuning, Falk - 2016
liquidity. Our analysis is based on a daily panel of unsecured overnight loans between 1,079 distinct German bank pairs from … March 2006 to November 2007, a period that includes the 2007 liquidity crisis that marked the beginning of the 2007 …/08 global financial crisis. We find that (i) relationship lenders are more likely to provide liquidity to their closest …
Persistent link: https://www.econbiz.de/10012984856
Cover Image
Relationship Lending in the Interbank Market and the Price of Liquidity
Bräuning, Falk - 2016
This paper empirically investigates the effect of interbank relationship lending on banks' access to liquidity. Our … liquidity. For the price of liquidity, we find that in the run-up to the recent financial crisis of 2007/08 relationship lenders … with theory that relationship lenders have private information about the creditworthiness of their close borrowers …
Persistent link: https://www.econbiz.de/10012988824
Cover Image
The Purpose of Interbank Markets
Krause, Jens - 2016
German banking sector and interbank market. It shows that banks use the interbank market for liquidity co-insurance as … traditionally assumed. However, the importance of the liquidity management function is higher for regionally-focused credit … the need to extend the traditional model of liquidity co-insurance …
Persistent link: https://www.econbiz.de/10012990108
Cover Image
Interbank rate uncertainty and bank lending
Altavilla, Carlo; Carboni, Giacomo; Lenza, Michele; … - 2019
This paper investigates the effects of interbank rate uncertainty on lending rates to euro area firms. We introduce a novel measure of interbank rate uncertainty, computed as the cross-sectional dispersion in interbank market rates on overnight unsecured loans. Using proprietary bank-level data,...
Persistent link: https://www.econbiz.de/10012059036
Cover Image
Macroprudential Policy with Liquidity Panics
Garcia-Macia, Daniel; Villacorta, Alonso - 2021
of a freeze, inducing firms to hoard even more liquid assets. Liquidity panics provide a new rationale for stricter … liquidity requirements, as this policy alleviates the informational frictions in the banking sector and paradoxically can end up …
Persistent link: https://www.econbiz.de/10013248846