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.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.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.doi http://dx.doi.org/10.1016/j.jinteco.2022.103657
• dc.identifier.issn 0022-1996
• dc.identifier.uri http://hdl.handle.net/10230/55937
• dc.language.iso eng
• dc.publisher Elsevier
• dc.relation.ispartof Journal of International Economics. 2022 Nov;139:103657
• dc.relation.projectID info:eu-repo/grantAgreement/EC/H2020/648398
• dc.relation.projectID info:eu-repo/grantAgreement/ES/1PE/ECO2015-68182-P
• dc.rights © Elsevier http://dx.doi.org/10.1016/j.jinteco.2022.103657
• dc.rights.accessRights info:eu-repo/semantics/openAccess
• 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.title Cross-border interbank liquidity, crises, and monetary policy
• dc.type info:eu-repo/semantics/article
• dc.type.version info:eu-repo/semantics/acceptedVersion