Results 21 to 30 of about 22,219 (138)

Self-organized criticality in a model of collective bank bankruptcies

, 2001
The question we address here is of whether phenomena of collective bankruptcies are related to self-organized criticality. In order to answer it we propose a simple model of banking networks based on the random directed percolation.
AGATA ALEKSIEJUK, Angelini P., GUEORGI KOSSINETS, JANUSZ A. HOŁYST   +3 more
core   +1 more source

Banks of a Feather: The Informational Advantage of Being Alike

Journal of Money, Credit and Banking, EarlyView.
Abstract 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 markets.
PETER BEDNAREK, VALERIYA DINGER, ALISON SCHULTZ, NATALJA VON WESTERNHAGEN   +3 more
wiley   +1 more source

Market-specific and Currency-specific Risk during the Global Financial Crisis: Evidence from the Interbank Markets in Tokyo and London [PDF]

This paper explores how international money markets reflected credit and liquidity risks during the global financial crisis. After matching the currency denomination, we investigate how the Tokyo Interbank Offered Rate (TIBOR) was synchronized with the ...
Shin-ichi Fukuda
core   +3 more sources

Market microstructure, bank's behaviour and interbank spreads [PDF]

, 2012
We present an empirical analysis of the European electronic interbank market of overnight lending (e-MID) during the years 1999–2009. The main goal of the paper is to explain the observed changes of the cross-sectional dispersion of lending/borrowing ...
Gabbi, G., Germano, G., Hatzopoulos, V., Iori, G., Politi, M.   +4 more
core  

Interbank markets and multiplex networks: centrality measures and statistical null models

, 2015
The interbank market is considered one of the most important channels of contagion. Its network representation, where banks and claims/obligations are represented by nodes and links (respectively), has received a lot of attention in the recent ...
Bargigli, Leonardo, di Iasio, Giovanni, Infante, Luigi, Lillo, Fabrizio, Pierobon, Federico   +4 more
core   +1 more source

Liquidity Crises and the Market‐Maker of Last Resort

Journal of Money, Credit and Banking, EarlyView.
Abstract We study market illiquidity in an economy subject to nonfundamental shocks. Asset trading occurs via decentralized bargaining. The model has multiple rational expectations equilibria; we associate certain Pareto‐inferior equilibria with liquidity crises.
CHARLES M. KAHN, DAVID MARSHALL, ROBERT L. MCDONALD   +2 more
wiley   +1 more source

The Cross-Section of Interbank Rates: A Nonparametric Empirical Investigation [PDF]

, 2012
This paper analyzes the distribution of lending and borrowing credit spreads in the European interbank market conditional on main features of banks such as their size, operating currency and nationality.
Iori, G., Kapar, B., Olmo, J.
core  

Real Effects of Exchange Rate Depreciation: The Roles of Bank Loan Supply and Interbank Markets

Journal of Money, Credit and Banking, EarlyView.
Abstract Using matched bank–firm‐level data and estimating difference‐in‐differences regressions around the 2014 depreciation of the euro, we show that exchange rate depreciations can lead to higher loan supply by raising banks' net worth. We focus on a new channel, interbank lending from large banks with high net dollar exposure to small banks without
THORSTEN BECK, PETER BEDNAREK, DANIEL TE KAAT, NATALJA VON WESTERNHAGEN   +3 more
wiley   +1 more source

Macroprudential Policy in the Euro Area

Journal of Money, Credit and Banking, EarlyView.
Abstract This paper examines the development and impact of macroprudential policies in the euro area. We construct a novel index that captures the stance of macroprudential policy, and we highlight its main stylized facts since the inception of the euro in 1999. We combine a narrative approach and a structural VAR method to show that both unanticipated
ÁLVARO FERNÁNDEZ‐GALLARDO, IVÁN PAYÁ   +1 more
wiley   +1 more source

Does Deposit Insurance Promote Deposit Stability? Evidence from the Postal Savings System during the 1920s

Journal of Money, Credit and Banking, EarlyView.
Abstract We evaluate whether deposit insurance (DI) promotes liquidity by influencing depositor behavior. We use the postal savings (PS) system and state‐adopted DI schemes during the 1920s to examine the effect of bank suspensions on PS deposit growth in pairs of border cities (DI versus non‐DI).
Lee K. Davison, Carlos D. Ramirez
wiley   +1 more source