Search Results - subject_exact:"Interbankenmarkt"

Endogenous bank risks and the lending channel of monetary policy

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

Persistent link: https://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015639141

Decomposing loan rate dispersion in the interbank market

Okada, Masayuki - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015636994

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015334486

Realized random graphs, with an application to the interbank network

Buccheri, Giuseppe; Mazzarisi, Piero - 2025

Persistent link: https://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015445548

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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015574441

Liquidity, collateral quality and interest rate

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

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

The impact of CBDC on a deposit-dependent banking system

Vollmar, Steffen; Wening, Fabian - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015081177

Liquidity regulation, bank capital ratio, and interbank rate

Huang, Chao; Moreira, Fernando - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015079814

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

Saroyan, Susanna - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014532482

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

Reale, Jessica - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014532514

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014468854

Liquidity, interbank network topology and bank capital

Ardekani, Aref Mahdavi - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014512209

CBDC and the operational framework of monetary policy

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

Persistent link: https://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015098616

Contagion mechanism of liquidity risk in the interbank network

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015190490

Systemic perspective of term risk in bank funding markets

Macrina, Andrea; Mahomed, Obeid - 2024

Persistent link: https://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015191198

Bank funding risk, reference rates, and credit supply

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

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

The effects of the LIBOR scandal on volatility and liquidity in LIBOR futures markets

Bachmair, Kilian - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013530819

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The Effects of the LIBOR Scandal on Volatility and Liquidity in LIBOR Futures Markets

Bachmair, Kilian - 2023

Book / Working Paper

Counterparty Choice, Maturity Shifts and Market Freezes : Lessons from the e-MID Interbank Market

Saroyan, Susanna - 2023

We explore the impact of relationship lending on the interbank debt maturity struc- ture of banks using data from the e-MID market covering both pre- and post-Lehman periods. We study the term structure and maturity shortening of interbank lending as an indicator of risk in times of stress. We...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014257010

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Counterparty Choice, Maturity Shifts and Market Freezes : Lessons from the e-MID Interbank Market

Saroyan, Susanna - 2022

Book / Working Paper

Counterparty Choice, Maturity Shifts and Market Freezes : Lessons from the e-MID Interbank Market

Saroyan, Susanna - 2022

Book / Working Paper

Interbank Asset-Liability Networks with Fire Sale Management

Halaj, Grzegorz; Feinstein, Zachary - 2023

Interconnectedness is an inherent feature of the modern financial system. While it contributes to efficiency of financial services, it also creates structural vulnerabilities: pernicious shock transmission and amplification impacting banks' capitalization. This has recently been seen during the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014258243

Multivariate stress scenario selection in interbank networks

Ahn, Dohyun; Kim, Kyoung-Kuk; Kwon, Eunji - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014480301

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Multivariate Stress Scenario Selection in Interbank Networks

Ahn, Dohyun; Kim, Kyoung-Kuk; Kwon, Eunji - 2023

Book / Working Paper

Interbank asset-liability networks with fire sale management

Feinstein, Zachary; Hałaj, Grzegorz - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014479685

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Interbank asset-liability networks with fire sale management

Feinstein, Zachary; Hałaj, Grzegorz - 2023

Book / Working Paper

Interbank Asset-Liability Networks with Fire Sale Management

Feinstein, Zachary; Halaj, Grzegorz - 2023

Book / Working Paper

Financial contagion within the interbank network

Mikropoulou, Christina D.; Vouldis, Angelos T. - 2023

The analysis of contagion in financial networks has primarily focused on transmission channels operating through direct linkages. This paper develops a model of financial contagion in the interbank market featuring both direct and indirect transmission mechanisms. The model is used to analyse...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014483684

Shedding light on the dynamics of the secured overnight financing rate (SOFR)

David-Pur, Lior; Galil, Koresh; Rosenboim, Mosi; … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015135498

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Shedding light on the dynamics of the secured overnight financing rate (SOFR)

David-Pur, Lior; Galil, Koresh; Rosenboim, Mosi; … - 2023

Book / Working Paper

Liquidity risk and funding cost

Bechtel, Alexander; Ranaldo, Angelo; Wrampelmeyer, Jan - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014317804

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Liquidity risk and funding cost

Bechtel, Alexander; Ranaldo, Angelo; Wrampelmeyer, Jan - 2019

Book / Working Paper

Banks of a feather : the informational advantage of being alike

Bednarek, Peter; Dinger, Valeriya; Schultz, Alison; … - 2023 - March 16, 2023

Banks lend more to banks that are similar to them. Using data from the German credit register and proprietary supervisory data on the quality of banks’ loan portfolio, we show that a similar portfolio of the lending and borrowing bank helps to overcome information asymmetries in interbank...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014320321

A network approach to interbank contagion risk in South Africa

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

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

Climate-induced liquidity crises : interbank exposures and macroprudential implications

D'Orazio, Paola; Reale, Jessica; Anh Duy Pham - 2023

Although climate-induced liquidity risks can cause significant disruptions and instabilities in the financial sector, they are frequently overlooked in current debates and policy discussions. This paper proposes a macro-financial agent-based integrated assessment model to investigate the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014289473

Connectivity, centralisation and 'robustness-yet-fragility' of interbank networks

Eboli, Mario; Ozel, Bulent; Teglio, Andrea; Toto, Andrea - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014326745

Interbank network and banks' credit supply

Covi, Giovanni; Gu, Xian - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013540634

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Interbank network and banks' credit supply

Covi, Giovanni; Gu, Xian - 2023

Book / Working Paper

Contingent capital with stock price triggers in interbank networks

Balter, Anne G.; Schweizer, Nikolaus; Vera, Juan C. - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014312569

The Norwegian overnight interbank market during the Covid pandemic

Akram, Qaisar Farooq; Findreng, Jon; Smith, Lyndsie - 2023

We analyse the behaviour of the Norwegian unsecured overnight interbank market in response to heightened uncertainty and the central bank's liquidity support measures following the Covid-19 pandemic. The liquidity measures enabled banks to fulfil their liquidity needs primarily through...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014314135