Showing 1 - 10 of 194,085
demand for liquidity in the interbank market as wells as banks' access to this market. Results indicate that riskier banks … pay higher prices and borrow less liquidity, concurrent with the existence of market discipline. More capitalized and … higher prices and hoard liquidity when liquidity positions across them are more imbalanced and during a monetary policy …
Persistent link: https://www.econbiz.de/10011554714
We investigate whether idiosyncratic interbank funding shocks affecting a bank headquarters can trigger a liquidity … emergency liquidity. Our findings suggest that the geographical fragmentation of branches' funding limits their ability to …
Persistent link: https://www.econbiz.de/10012516271
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 observed in May 2013. We find that both liquidity shocks are associated with higher …
Persistent link: https://www.econbiz.de/10012921314
policy and therefore ultimately the real economy. In particular, it facilitates banks' liquidity management. This paper aims … at extending the literature which views interbank markets as mutual liquidity insurance mechanism by taking into account … persistence of liquidity shocks. Following a theory of long-term interbank funding a financial system which is modeled as a micro …
Persistent link: https://www.econbiz.de/10011434764
We develop a model where banks invest in reserves and loans, and face aggregate liquidity shocks. Banks with liquidity … financial stability. The structure of liquidity shocks affects the severity and the occurrence of crises, as well as the amount …
Persistent link: https://www.econbiz.de/10010249670
provide more secured loans to replace unsecured lending, which is not consistent with speculative or precautionary liquidity …
Persistent link: https://www.econbiz.de/10011818292
regulatory liquidity requirements on bank behavior. A multi-stage decision situation allows for considering the interaction … between credit risk and liquidity risk of banks. This interaction is found to make a risk neutral bank behave as if it were … risk averse in an environment where there is no interbank market and liquidity regulation. Introducing a buoyant interbank …
Persistent link: https://www.econbiz.de/10010344667
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/10011523828
We develop a theoretical model examining the financial stability policy of a central bank serving as both the lender of last resort and the regulator of the financial system. The model accommodates the possibility of financial contagion through interbank market linkages, and adverse feedback...
Persistent link: https://www.econbiz.de/10012969580
This paper presents a new theory that explains why it is beneficial for banks to be highly interconnected and to engage in herding behavior. It shows that these two important causes of systemic risk are interdependent and thus cannot be considered in isolation. The reason is that banks have an...
Persistent link: https://www.econbiz.de/10012061003