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Liquidity hoarding and interbank market spreads: the role of counterparty risk

Heider, Florian; Hoerova, Marie; Holthausen, Cornelia - 2009

banks to have private information about the risk of their assets. We show how banks’ asset risk affects funding liquidity in … state with adverse selection and elevated rates; and iii) market breakdown with liquidity hoarding. We provide an … of unsecured rates and excess reserves banks hold, as well as the inability of massive liquidity injections by central …

Persistent link: https://www.econbiz.de/10011605172

Banks fearing the drought? Liquidity hoarding as a response to idiosyncratic interbank funding dry-ups

Littke, Helge C. N.; Ossandon Busch, Matias - 2018

asset positions once the aggregate interbank funding market experiences a dry-up. To this regard, we show that liquidity … strategy further helps us to analyse how disruptions in the bank headquarters' interbank market can lead to liquidity and …

Persistent link: https://www.econbiz.de/10011864062

The euro area interbank market and the liquidity management of the eurosystem in the financial crisis

Hauck, Achim; Neyer, Ulrike - 2010

are high, the central bank assumes an intermediary function between liquidity surplus banks and liquidity deficit banks …

Persistent link: https://www.econbiz.de/10010302571

Interbank lending, credit risk premia and collateral

Heider, Florian; Hoerova, Marie - 2009

We study the functioning of secured and unsecured inter-bank markets in the presence of credit risk. The model generates empirical predictions that are in line with developments during the 2007-2009 financial crises. Interest rates decouple across secured and unsecured markets following an...

Persistent link: https://www.econbiz.de/10011605153

Shadow banking: Financial intermediation beyond banks

Jokivuolle, Esa (contributor) - 2018

Shadow banking is a broad concept. A possible definition is that it comprises non-bank institutions which undertake bank-like activities. Another characteristic is that the sector is overall less regulated. Therefore there are still shortcomings in systematic collection of information of the sector.

Persistent link: https://www.econbiz.de/10011985212

Core-periphery structure in the overnight money market: Evidence from the e-MID trading platform

Fricke, Daniel; Lux, Thomas - 2012

We explore the network topology arising from a dataset of the overnight interbank transactions on the e-MID trading platform from January 1999 to December 2010. In order to shed light on the hierarchical structure of the banking system, we estimate different versions of a core-periphery model....

Persistent link: https://www.econbiz.de/10010281031

Network analysis of the e-MID overnight money market: The informational value of different aggregation levels for intrinsic dynamic processes

Finger, Karl; Fricke, Daniel; Lux, Thomas - 2012

In this paper, we analyze the network properties of the Italian e-MID data based on overnight loans during the period 1999-2010. We show that the networks appear to be random at the daily level, but contain significant non-random structure for longer aggregation periods. In this sense, the daily...

Persistent link: https://www.econbiz.de/10010287009

The effect of personal financing disruptions on entrepreneurship

Hanspal, Tobin - 2016

I show that disruptions to personal sources of financing, aside from commercial lending supply shocks, impair the survival and growth of small businesses. Entrepreneurs holding deposit accounts at retail banking institutions that defaulted following the financial crisis reduce personal borrowing...

Persistent link: https://www.econbiz.de/10011575129

Banks fearing the drought? Liquidity hoarding as a response to idiosyncratic interbank funding dry-ups

Littke, Helge; Ossandon Busch, Matias - 2021

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/10012518411

Banks and Sovereign Risk: A Granular View

Buch, Claudia M.; Koetter, Michael; Ohls, Jana - 2015

We identify the determinants of all German banks' sovereign debt exposures between 2005 and 2013 and test for the implications of these exposures for bank risk. Larger, more capital market affine, and less capitalised banks hold more sovereign bonds. Around 15% of all German banks never hold...

Persistent link: https://www.econbiz.de/10011335366