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Monetary policy implementation in an interbank network : effects on systemic risk
Bluhm, Marcel; Faia, Ester; Krahnen, Jan Pieter - 2014
firesale spirals. The central bank injects or withdraws liquidity on the interbank markets to achieve its desired interest rate … detrimental effects of higher risk taking incentives.We find that central bank supply of liquidity quite generally increases …
Persistent link: https://www.econbiz.de/10010337579
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How stressed are banks in the interbank market?
Abbassi, Puriya; Fecht, Falko; Weber, Patrick - 2013
recourse to the LOLR facility (a) to derive banks’ willingness-to-pay for liquidity through a one-week repo and (b) to show … results suggest (i) that banks’ willingness-to-pay for liquidity indeed reflects refinancing conditions in the interbank …
Persistent link: https://www.econbiz.de/10010192732
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Contagion accounting
Aldasoro, Iñaki; Hüser, Anne-Caroline; Kok Sørensen, … - 2020
We provide a simple and tractable accounting-based stress-testing framework to assess loss dynamics in the banking sector, in a context of leverage targeting. Contagion can occur through direct interbank exposures, and indirect exposures due to overlapping portfolios with the associated price...
Persistent link: https://www.econbiz.de/10012384482
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CBDC and the operational framework of monetary policy
Abad, Jorge; Nuño, Galo; Thomas, Carlos - 2024
We analyze the impact of introducing a central bank-issued digital currency (CBDC) on the operational framework of monetary policy and the macroeconomy as a whole. To this end, we develop a New Keynesian model with heterogeneous banks, a frictional interbank market, a central bank with deposit...
Persistent link: https://www.econbiz.de/10014456302
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Core-Periphery Formation in Interbank Markets
Näther, Maria - 2018
Interbank markets are fundamentally important for banks' liquidity management, for the transmission of monetary policy …
Persistent link: https://www.econbiz.de/10012930176
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Interbank network as a channel of credit contagion in banks : is moral hazard transferable?
Jović, Željko; Đaković, Milena Lutovac - In: Journal of central banking theory and practice 11 (2022) 3, pp. 117-135
The objective of this research is to examine the inter-bank network of clients as a channel for credit risk transmission by groups of banks in Serbia characterized by different levels of credit risk (clusters). Two of the four observed groups of banks have experienced increase in NPLs through...
Persistent link: https://www.econbiz.de/10013407507
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Credit and Liquidity in Interbank Rates : A Quadratic Approach
Dubecq, Simon - 2016
incorporate credit and liquidity risks. Indeed, a bank that lends on the unsecured market requires compensations for facing (a … us to decompose the whole term structure of spreads into credit and liquidity components. Our no-arbitrage econometric … recent easing in the euro interbank market comes from a decrease in liquidity-related risk premia …
Persistent link: https://www.econbiz.de/10013007148
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The Role of Interbank Relationships and Liquidity Needs
Craig, Ben R. - 2016
In this paper, we focus on the interconnectedness of banks and the price they pay for liquidity. We assess how the … to meet its liquidity demand. We use quarterly data of bilateral interbank credit exposures between all German banks from …'s willingness to pay for liquidity since they had variable rate tenders with a 'pay-your-bid' price. Controlling for bank …
Persistent link: https://www.econbiz.de/10012988757
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The Role of Interbank Relationships and Liquidity Needs
Craig, Ben R. - 2015
In this paper, we focus on the interconnectedness of banks and the price they pay for liquidity. We assess how the … to meet its liquidity demand. We use quarterly data of bilateral interbank credit exposures between all German banks from …'s willingness to pay for liquidity since they had variable rate tenders with a “pay-your-bid” price. Controlling for bank …
Persistent link: https://www.econbiz.de/10013032161
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The Role of Interbank Relationships and Liquidity Needs
Craig, Ben R. - 2015
In this paper, we focus on the interconnectedness of banks and the price they pay for liquidity. We assess how the … to meet liquidity demand. We use quarterly data of bilateral interbank credit exposure among all German banks from 2000 … liquidity, since they had variable rate tenders with a “pay-your-bid” price. Controlling for bank characteristics and the daily …
Persistent link: https://www.econbiz.de/10013037070