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Cross-border interbank liquidity, crises, and monetary policy

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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

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