Search Results - subject_exact:"LIBOR"

Endogenous bank risks and the lending channel of monetary policy

Araujo, Gabriela; Rivero, David; Rodríguez, Hugo - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015655489

Can macroprudential policy for retail banks reduce bank runs? : evidence from WAEMU's banking sector

Aboulaye, Toure Talnan; Moussa, Ouattara Zieh; Kacou, … - 2026

Motivated by the coexistence of retail and wholesale banks with distinct risk profiles under uniform capital regulation, and by the lack of quantitative evidence on whether differentiated capital requirements can reduce bank runs and interbank frictions in low-income monetary unions, this paper...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015611530

Overnight interbank rate volatility across liquidity states : key drivers and policy implications

Mukhtarov, Elmir; Hajili, Ali; Garayeva, Aygun; … - 2026

Effective monetary policy requires maintaining the short-term interbank rate close to the policy rate while limiting its volatility, ensuring smooth transmission, and reducing banks' liquidity and interest rate risks. This paper seeks to identify and explain the drivers of volatility in...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015614335

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Overnight interbank rate volatility across liquidity states : key drivers and policy implications

Mukhtarov, Elmir; Hajili, Ali; Garayeva, Aygun; … - 2025

Book / Working Paper

A model of network formation for the overnight interbank market : when is core-periphery an illusion?

Anufriev, Mikhail; Deghi, Andrea; Panchenko, Valentyn; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015578346

Securities losses and the bank collateral channel of monetary transmission

Giannetti, Mariassunta; Jasova, Martina; Mendicino, Caterina - 2026

We show that losses on banks' securities portfolios matter for the transmission mechanism of monetary policy even in the absence of financial stability concerns. When banks experience losses in their pledgeable securities, their ability to tap liquidity through the interbank market is impaired,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015626594

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Securities losses and the bank collateral channel of monetary transmission

Giannetti, Mariassunta; Jasova, Martina; Mendicino, Caterina - 2026

Book / Working Paper

Central clearing and the pricing of specialness in repo markets

Danisewicz, Piotr; Dieler, Tobias; Mancini, Loriano; … - 2026

Repo markets clear either bilaterally over the counter (OTC) or through central counter-parties (CCPs), which differ in how counterparty risk is priced. In bilateral markets, repo rates reflect borrower-specific risk, while CCP clearing pools counterparties and applies a common pricing rule. We...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015626941

Critical regimes of systemic risk : flow network cascades in the U.S. banking system

Montañez Jacquez, Samuel; Quezada Téllez, Luis Alberto; … - 2026

Systemic risk in banking systems arises from losses transmitted through networks of contractual exposures. Yet, most widely used measures rely on market-implied volatility and equity prices rather than structural balance sheet fragilities. This paper develops a flow network framework that models...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015639141

Decomposing loan rate dispersion in the interbank market

Okada, Masayuki - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015636994

Liquidity buffers, systemic banks, and interbank rate spread : evidence from Rwanda

Mugenzi, Patrick; Uwimana, Annie - 2026

This paper examines how monetary policy actions, bank liquidity positions, and institutional heterogeneity shape interbank pricing in Rwanda. Using a bank-month panel dataset constructed from transaction-level records on the Rwanda Integrated Payment Processing System (RIPPS) for monthly data...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015671968

Measuring systemic importance under liquidity stress : evidence from the Uganda National Interbank and Settlement System (UNISS) and Interbank markets

Jingo, Irene P. Nabwire; Kiiza, Joshua Aliganyira; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015675641

Hard to shift, easy to reshape : central bank reserve demand and frictions

Drehmann, Mathias; Fu, Xuewen - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016083760

US$ interest rate and cross currency swaps after the LIBOR funeral: A corporate treasury primer

Heidorn, Thomas; Liem, Erik; Requardt, Stefan; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015338520

The Rise and Fall of LIBOR and Its Alternatives

Mirjalili, Seyed Hossein - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015624623

US ($) interest rate and cross currency swaps after the LIBOR funeral : a corporate treasury primer

Heidorn, Thomas; Liem, Erik; Requardt, Stefan; … - 2025

This paper examines the transition from LIBOR to SOFR in the US and maps out the consequences for European corporate treasurers by showing how the application of SOFR in cash products and derivatives differs from LIBOR. As interest rate and cross-currency swaps transition to compounded SOFR,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015333448

US Treasury market default risk and global interbank liquidity risk

Cottrell, Simon; Lei, Jinghua; Ma, Yihong; Delpachitra, … - 2025

Using Credit Default Swaps (CDS) on sovereign bonds, we investigate whether US sovereign default risk is a greater driving factor of domestic interbank funding risk than domestic sovereign default risk across the five Libor counties including Canada and Australia. We use equivalent-country...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015334486

Realized random graphs, with an application to the interbank network

Buccheri, Giuseppe; Mazzarisi, Piero - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015339740

Assortative matching, interbank markets, and monetary policy

Bittner, Christian; Jamilov, Rustam; Saidi, Farzad - 2025

We develop a quantitative macroeconomic framework with heterogeneous financial intermediaries and active liquidity management. In the model, banks manage uninsured, idiosyncratic deposit withdrawal risk through an iterative over-the-counter interbank market with endogenous intensive and...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015192256

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Assortative matching, interbank markets, and monetary policy

Bittner, Christian; Jamilov, Rustam; Saidi, Farzad - 2025

Book / Working Paper

Correspondent banking, systemic risk, and the panic of 1893

Cotter, Christopher; Rousseau, Peter L. - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015471214

The transmission of non-banking liquidity shocks to the banking sector

Sarmiento, Miguel - 2025

The increasing interdependence between non-banking financial institutions (NBFIs) and the banking sector conditions the provision of liquidity in the financial markets. This paper evaluates how the market stress associated to the bankruptcy of one of the most interconnected NBFIs in an emerging...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015441532

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The transmission of non-banking liquidity shocks to the banking sector

Sarmiento, Miguel - 2024

Book / Working Paper

Unintended consequences of regulating central clearing

D'Erasmo, Pablo N.; Erol, Selman; Ordoñez, Guillermo - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015445548

The SOFR discount

Klingler, Sven; Syrstad, Olav - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015562235

Stylized facts in money markets : an empirical analysis of the eurozone data

Le Coz, Victor; Allaire, Nolwenn; Benzaquen, Michael; … - 2025

Using the secured transactions recorded within the Money Markets Statistical Reporting database of the European Central Bank, we test several stylized facts regarding the interbank market of the 47-largest banks in the eurozone. We observe that the surge in the volume of traded evergreen...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015554253

The formation and cross-border connectivity of bank branch networks across the Canadian provinces : regional internationalization via interbank networks and foreign trade (1879-1900)

Pivavarava, Alena V. - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015475391

Policy interest rate expectations and the behavior of the interbank money market

Garcia, Piero; Pozo, Jorge; Velarde, Rafael - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015574441

Liquidity, collateral quality and interest rate

Ahn, Jung-Hyun; Bignon, Vincent; Breton, Régis; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015376025

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Liquidity, collateral quality and interest rate

Ahn, Jung-Hyun; Bignon, Vincent; Breton, Régis; … - 2025

Book / Working Paper

US Dollar swaps after LIBOR

Heidorn, Thomas; Meier, Rebecca - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014470193

A network approach to interbank contagion risk in South Africa

Mananga, Pierre Nkou; Lin, Shiqiang; Zhang, Hairui - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015324012

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A network approach to interbank contagion risk in South Africa

Mananga, Pierre Nkou; Lin, Shiqiang; Zhang, Hairui - 2023

Book / Working Paper

OSE 3-month TONA futures and BOJ monetary policy

Stenfors, Alexis - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015066043

The impact of CBDC on a deposit-dependent banking system

Vollmar, Steffen; Wening, Fabian - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015081177

Merchants of debt at the extreme overnight : re-considering monetary theories via rollover-induced interbank frictions

Reale, Jessica - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015193626

Liquidity regulation, bank capital ratio, and interbank rate

Huang, Chao; Moreira, Fernando - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015079814

Monetary policy, interbank liquidity, and lending behavior of banks in India

Ansari, Md. Gyasuddin; Sensarma, Rudra - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015416976

A minimal model of money creation within secured interbank markets

Le Coz, Victor; Benzaquen, Michael; Challet, Damien - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015471221

Counterparty choice, maturity shifts and market freezes : lessons from the European interbank market

Saroyan, Susanna - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014532482

Interbank decisions and margins of stability : an agent-based stock-flow consistent approach

Reale, Jessica - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014532514

Reservation rates in interbank money markets

Rainone, Edoardo - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015471288

Interbank networks and the interregional transmission of financial crises : evidence from the Panic of 1907

Jaremski, Matthew; Wheelock, David C. - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015453433

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Interbank networks and the interregional transmission of financial crises : evidence from the Panic of 1907

Jaremski, Matthew; Wheelock, David C. - 2025

Article

Interbank Networks and the Interregional Transmission of Financial Crises : Evidence from the Panic of 1907

Jaremski, Matthew S.; Wheelock, David C. - 2023

Book / Working Paper

Interbank networks and the interregional transmission of financial crises : evidence from the panic of 1907

Jaremski, Matthew; Wheelock, David C. - 2022

Book / Working Paper

Interbank Networks and the Interregional Transmission of Financial Crises : Evidence from the Panic of 1907

Jaremski, Matthew; Wheelock, David C. - 2022

Book / Working Paper

US Dollar swaps after LIBOR

Heidorn, Thomas; Meier, Rebecca - 2024

The main focus of this paper is a comprehensive overview of the US$ reference rate reform, with a particular focus on its implications for USD interest rate swaps (IRS). This paper aims to shed light on the current situation and future developments in a changing financial landscape. This paper...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014468854

Liquidity, interbank network topology and bank capital

Ardekani, Aref Mahdavi - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014512209

A Trade-off Between Monetary Policy Transmission and Systemic Risk in China

Chen, Kaiji; Xiao, Yiqing; Zha, Tao - 2025

We examine how interbank wholesale funding shapes the transmission of interest-rate-based monetary policy in China and contributes to systemic risk. Using a bank-level quarterly panel dataset and an estimated policy rule for the 7-day repo rate, we find that access to wholesale funding amplifies...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015438281

Cultural values and interbank markets : an agent-based stock-flow consistent model

Reale, Jessica; Biondo, Alessio Emanuele - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015438343

CBDC and the operational framework of monetary policy

Abad, Jorge; Nuño, Galo; Thomas, Carlos - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015560881

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CBDC and the operational framework of monetary policy

Abad, Jorge; Nuño, Galo; Thomas, Carlos - 2024

Book / Working Paper

CBDC and the operational framework of monetary policy

Abad, Jorge; Nuño, Galo; Thomas, Carlos - 2024

Book / Working Paper

CBDC and the operational framework of monetary policy

Abad, Jorge; Nuño, Galo; Thomas, Carlos - 2024

Book / Working Paper

CBDC and the operational framework of monetary policy

Abad, Jorge; Nuño, Galo; Thomas, Carlos - 2023 - This version: September 2023

Edition: This version: September 2023

Book / Working Paper

CORRA : explaining the rise in volumes and resulting upward pressure

Plong, Boran; Maru, Neil - 2024 - Last updated: August 15, 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015098616

Do network characteristics affect systemic risk? : evidence from the European banking system

Yang, Xin; Jin, Cheng; Cao, Jie; Liu, Sheng; Huang, … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015444723

Contagion mechanism of liquidity risk in the interbank network

Chen, Naixi; Fan, Hong; Pang, Congyuan - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015190490

Bank funding risk, reference rates, and credit supply

Cooperman, Harry; Duffie, Darrell; Luck, Stephan; Wang, … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015399755

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Bank funding risk, reference rates, and credit supply

Cooperman, Harry; Duffie, Darrell; Luck, Stephan; Wang, … - 2023 - Revised February 2023

Edition: Revised February 2023

Book / Working Paper

Bank funding risk, reference rates, and credit supply

Cooperman, Harry R.; Duffie, Darrell; Yang, Yilin; … - 2023

Book / Working Paper

Bank Funding Risk, Reference Rates, and Credit Supply

Cooperman, Harry; Duffie, Darrell; Luck, Stephan; Wang, … - 2023

Book / Working Paper

Bank Funding Risk, Reference Rates, and Credit Supply

Cooperman, Harry; Duffie, Darrell; Luck, Stephan; Wang, … - 2023

Book / Working Paper

Bank Funding Risk, Reference Rates, and Credit Supply

Cooperman, Harry; Duffie, Darrell; Luck, Stephan; Wang, … - 2023

Book / Working Paper

Systemic perspective of term risk in bank funding markets

Macrina, Andrea; Mahomed, Obeid - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015558943

Interbank rate & monetary policy : evidence from dual banking system of developing countries

Abdul Rehman Shah, Muhammad; Helmi, Mohamad Husam; … - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015191198

On the optimal control of interbank contagion in the euro area banking system

Fukker, Gábor; Kok Sørensen, Christoffer - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014533538

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On the optimal control of interbank contagion in the euro area banking system

Fukker, Gábor; Kok Sørensen, Christoffer - 2021

Book / Working Paper

Does SOFR-linked debt cost borrowers more than LIBOR-linked debt?

Klingler, Sven; Syrstad, Olav - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014551704