This paper studies liquidity risk contagion within the interbank market by assessing the long-run relationship of short-term interest rate spreads from January 2002 to December 2015. In particular, we model the interaction between the LIBOR-OIS spread, euro fixed-float OIS swap rate and the...

We provide new evidence about the effect of securitization on bank stability and systemic risk in the run-up to and following the global financial crisis by considering the role of the bank lending channel of monetary policy. In so doing, we use a structural model of bank stability to construct...