dc.contributor.author |
Abbassi, Puriya |
dc.contributor.author |
Bräuning, Falk |
dc.contributor.author |
Fecht, Falko |
dc.contributor.author |
Peydró, José-Luis |
dc.date.accessioned |
2023-02-27T12:19:22Z |
dc.date.issued |
2022 |
dc.identifier.citation |
Abbassi P, Bräuning F, Fecht F, Peydró JL. Cross-border interbank liquidity, crises, and monetary policy. Journal of International Economics. 2022 Nov;139:103657. DOI: 10.1016/j.jinteco.2022.103657 |
dc.identifier.issn |
0022-1996 |
dc.identifier.uri |
http://hdl.handle.net/10230/55937 |
dc.description.abstract |
We analyze how the Lehman and sovereign crises affect cross-border interbank liquidity, exploiting euro-area proprietary interbank data, crisis and monetary shocks, and loan terms to the same borrower during the same day by domestic versus foreign lenders. Crisis shocks reduce the supply of cross-border liquidity, with stronger volume than pricing effects. On the extensive margin, results suggest that the cross-border credit crunch is independent of borrower quality, while—on the intensive margin—riskier borrower banks suffer more. Moreover, the cross-border liquidity crunch is substantially stronger for term loans, and weaker for foreign lender banks that have a subsidiary in the same country than the borrower. Finally, nonstandard monetary policy improves interbank liquidity, but without fostering strong re-integration of cross-border interbank markets. |
dc.description.sponsorship |
José-Luis Peydró acknowledges financial support from project ECO2015-68182-P (MINECO/FEDER, UE) and the European Research Council Grant (project 648398). |
dc.format.mimetype |
application/pdf |
dc.language.iso |
eng |
dc.publisher |
Elsevier |
dc.relation.ispartof |
Journal of International Economics. 2022 Nov;139:103657 |
dc.rights |
© Elsevier http://dx.doi.org/10.1016/j.jinteco.2022.103657 |
dc.title |
Cross-border interbank liquidity, crises, and monetary policy |
dc.type |
info:eu-repo/semantics/article |
dc.identifier.doi |
http://dx.doi.org/10.1016/j.jinteco.2022.103657 |
dc.subject.keyword |
International liquidity |
dc.subject.keyword |
Financial crises |
dc.subject.keyword |
Cross-border lending |
dc.subject.keyword |
Monetary policy |
dc.subject.keyword |
Banks |
dc.relation.projectID |
info:eu-repo/grantAgreement/EC/H2020/648398 |
dc.relation.projectID |
info:eu-repo/grantAgreement/ES/1PE/ECO2015-68182-P |
dc.rights.accessRights |
info:eu-repo/semantics/embargoedAccess |
dc.type.version |
info:eu-repo/semantics/acceptedVersion |
dc.embargo.liftdate |
2024-08-29 |
dc.date.embargoEnd |
info:eu-repo/date/embargoEnd/2024-08-29 |