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Market-specific and currency-specific risk during the global financial crisis : evidence from the interbank markets in Tokyo and London
Fukuda, Shin'ichi - In: Journal of banking & finance 36 (2012) 12, pp. 3185-3196
Persistent link: https://www.econbiz.de/10009660512
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Market-specific and currency-specific risk during the global financial crisis : evidence from the interbank markets in Tokyo and London
Fukuda, Shin'ichi - 2011
-specific risks during the crisis. The regression results suggest that counter-party credit risk increased the difference across the … markets, while liquidity risk caused the difference across the currency denominations. They also support the view that a … central bank liquidity provisions were useful in reducing liquidity risk in the US dollar transactions. But their …
Persistent link: https://www.econbiz.de/10009006752
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Market-Specific and Currency-Specific Risk During the Global Financial Crisis : Evidence from the Interbank Markets in Tokyo and London
Fukuda, Shin-Ichi - 2011
-specific risks during the crisis. The regression results suggest that counter-party credit risk increased the difference across the … markets, while liquidity risk caused the difference across the currency denominations. They also support the view that a … central bank liquidity provisions were useful in reducing liquidity risk in the US dollar transactions. But their …
Persistent link: https://www.econbiz.de/10013127007
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Investigating Risk Contagion Initiated by Endogenous Liquidity Shocks : Evidence from the US and Eurozone Interbank Market
Eross, Andrea - 2018
This paper investigates liquidity spillovers between the US and European interbank market during turbulent and tranquil periods. We show that an endogenous model with time-varying transition probabilities is effective in describing the propagation of liquidity shocks within the interbank market,...
Persistent link: https://www.econbiz.de/10012936358
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Essays on monetary policy, safe assets, and the repo market
Bechtel, Alexander - 2021
Persistent link: https://www.econbiz.de/10012647998
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Four essays in the economics of banking and currency crises
Ho, Tai-kuang - 2003
Persistent link: https://www.econbiz.de/10001756795
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Effects of Central Bank Intervention on the Interbank Market during the Sub-Prime Crisis
Brunetti, Celso - 2009
, when counterparty risk poses systemic risk to the interbank market, the central bank should focus on providing interbank …
Persistent link: https://www.econbiz.de/10013158390
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Investigating risk contagion initiated by endogenous liquidity shocks : evidence from the US and eurozone interbank markets
Eross, Andrea; Urquhart, Andrew; Wolfe, Simon - In: The European journal of finance 25 (2019) 1, pp. 35-53
Persistent link: https://www.econbiz.de/10012206955
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Banks fearing the drought? : liquidity hoarding as a response to idiosyncratic interbank funding dry-ups
Littke, Helge C. N.; Ossandon Busch, Matias - 2018
Since the global financial crisis, economic literature has highlighted banks’ inclination to bolster up their liquid asset positions once the aggregate interbank funding market experiences a dry-up. To this regard, we show that liquidity hoarding and its detrimental effects on credit can also...
Persistent link: https://www.econbiz.de/10011863972
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Market discipline and liquidity risk : evidence from the interbank funds market
Sarmiento, Miguel - 2016
tightening. Besides, small banks are found to suffer more as their credit risk and liquidity risk increase. We show that lending … relationships benefit banks in hedging liquidity risk. We also document that central bank liquidity increments are associated with a …
Persistent link: https://www.econbiz.de/10011554714