International financial integration, crises and monetary policy: evidence from the 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.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
• dc.date.accessioned 2024-11-14T10:09:54Z
• dc.date.available 2024-11-14T10:09:54Z
• dc.date.issued 2017-04-01
• dc.date.modified 2024-11-14T10:05:35Z
• dc.description.abstract We analyze how the Lehman and sovereign crises affect international financial integration, 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 independent of 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. Nonstandard monetary policy improves interbank liquidity, but without fostering strong crossborder financial re-integration.
• dc.format.mimetype application/pdf*
• dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=1566
• dc.identifier.citation Published as ‘Cross-border interbank liquidity, crises, and monetary policy’ in Journal of International Economics, 139, November 2022, 103657. DOI: https://doi.org/10.1016/j.jinteco.2022.103657
• dc.identifier.uri http://hdl.handle.net/10230/33893
• dc.language.iso eng
• dc.relation.ispartofseries Economics and Business Working Papers Series; 1566
• dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
• dc.rights.accessRights info:eu-repo/semantics/openAccess
• dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
• 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 liquidity
• dc.subject.keyword Finance and Accounting
• dc.subject.keyword Macroeconomics and International Economics
• dc.subject.keyword Labour, Public, Development and Health Economics
• dc.title International financial integration, crises and monetary policy: evidence from the Euro area interbank crises
• dc.title.alternative
• dc.type info:eu-repo/semantics/workingPaper