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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 … propagation of liquidity shocks within the interbank market, while predicting liquidity crashes characterised by changed dynamics …. We show that liquidity shocks, originating from movements of the spread between the Asset Backed Commercial Paper and T …

Persistent link: https://www.econbiz.de/10012936358

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

How do banks respond to increased funding uncertainty?

Ritz, Robert A.; Walther, Ansgar - 2014

Persistent link: https://www.econbiz.de/10010366299

Liquidity networks in banking

Orhun, Eda - In: Finance a úvěr 67 (2017) 2, pp. 104-118

Persistent link: https://www.econbiz.de/10011720700

A dynamic network model of the unsecured interbank lending

Blasques, Francisco; Bräuning, Falk; Lelyveld, Iman van - 2015

Persistent link: https://www.econbiz.de/10010488940

A dynamic network model of the unsecured interbank lending market

Blasques, Francisco; Bräuning, Falk; Lelyveld, Iman van - 2015

Persistent link: https://www.econbiz.de/10010496224

A dynamic network model of the unsecured interbank lending market

Blasques, Francisco; Bräuning, Falk; Lelyveld, Iman van - 2016

We introduce a dynamic network model of interbank lending and estimate the parameters by indirect inference using network statistics of the Dutch interbank market from mid-February 2008 through April 2011. We find that credit-risk uncertainty and peer monitoring are significant factors in...

Persistent link: https://www.econbiz.de/10011478534

Interbank market friction-induced holdings of precautionary liquidity : implications for bank loan supply and monetary policy implementation

Bucher, Monika; Hauck, Achim; Neyer, Ulrike - In: Economic theory : official journal of the Society for … 70 (2020) 1, pp. 165-222

Persistent link: https://www.econbiz.de/10012240878

Cross-border liquidity, relationships and monetary policy : evidence from the Euro area interbank crisis

Abbassi, Puriya; Bräuning, Falk; Fecht, Falko; … - 2014 - This version: November 2014

We analyze the impact of financial crises and monetary policy on the supply of wholesale funding liquidity, and also on … on interbank access and volume is stronger than on spreads. Liquidity supply restrictions are exacerbated for cross … price dispersion substantially decreases when the Eurosystem promises unlimited access to liquidity at a fixed price in …

Persistent link: https://www.econbiz.de/10010471858

Does interbank market matter for business cycle fluctuation? : an estimated DSGE model with financial frictions for the Euro area

Giri, Federico - In: Economic modelling 75 (2018), pp. 10-22

Persistent link: https://www.econbiz.de/10012101363