International financial integration, crises and monetary policy: evidence from euro area interbank crises
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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 2019-04-12T08:10:15Z
- dc.date.available 2019-04-12T08:10:15Z
- dc.date.issued 2018
- dc.description.abstract We analyze how international financial integration is affected by the recent financial and sovereign crises, 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, thereby impairing international financial integration. On the extensive margin, the cross-border credit crunch is independently of quality. On the intensive margin, however, GIPSheadquartered debtor banks suffer in the Lehman crisis, but effects are stronger in the sovereigndebt crisis, especially for riskier banks. Consistent with asymmetric information being the key driver, the cross-border liquidity crunch is stronger for longer-term loans, and weaker for foreign lender banks that are located in the same country than the borrower. Nonstandard monetary policy improves interbank liquidity, but without fostering strong cross-border financial reintegration.ca
- 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). The views expressed in the paper are only those of the authors and do not necessarily represent the views of any of the institutions to which the authors are affiliated.
- dc.format.mimetype application/pdf*
- dc.identifier.uri http://hdl.handle.net/10230/37101
- dc.language.iso catca
- dc.relation.ispartofseries Economic Working Paper Series;1566
- dc.relation.projectID info:eu-repo/grantAgreement/ES/1PE/ECO2015-68182-P
- dc.relation.projectID info:eu-repo/grantAgreement/EC/H2020/648398
- dc.rights.accessRights info:eu-repo/semantics/openAccessca
- dc.subject.keyword Financial integration
- dc.subject.keyword Financial crises
- dc.subject.keyword Cross-border lending
- dc.subject.keyword Monetary policy
- dc.subject.keyword Euro area sovereign crisis
- dc.subject.keyword International liquidity
- dc.title International financial integration, crises and monetary policy: evidence from euro area interbank crisesca
- dc.type info:eu-repo/semantics/workingPaperca