Loading...
Please wait, while we are loading the content...
Similar Documents
Bad Sovereign or Bad Balance Sheets? Euro Interbank Market Fragmentation and Monetary Policy, 2011-2015
| Content Provider | Scilit |
|---|---|
| Author | Gabrieli, Silvia Labonne, Claire |
| Copyright Year | 2018 |
| Description | Journal: SSRN Electronic Journal We measure the relative role of sovereign-dependence risk and balance sheet risk in euro area interbank market fragmentation. We combine bank-to-bank loan data with detailed supervisory information on borrowers’ cross-border exposures between 2011 and 2015. We study the impact of the credit risk on borrowers’ balance sheets on their access to, and the price of, interbank liquidity, controlling for sovereign-dependence risk and lenders’ liquidity shocks. We find evidence that (i) high non-performing loan ratios on the GIIPS portfolio hinder access to the interbank market throughout the sample period; (ii) the relative role of sovereign-dependence risk and balance sheet risk for fragmentation varies by countries and through time; (iii) large sovereign bond holdings are priced in interbank rates only before the OMT programme; (iv) interbank rates account for the size of lending to the real economy when central bank liquidity provision does. |
| Related Links | https://www.bostonfed.org/-/media/Documents/Workingpapers/PDF/2018/rpa1803.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=3152481 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.3152481 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2018-03-14 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal Mathematical Social Sciences Market Discipline |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |
