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The impact of the financial crisis on inter-bank funding: evidence from Italian balance sheet data

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Author Info

  • Giuseppe Cappelletti

    ()
    (Bank of Italy)

  • Antonio De Socio

    ()
    (Bank of Italy)

  • Giovanni Guazzarotti

    ()
    (Bank of Italy)

  • Enrico Mallucci

    ()
    (London School of Economics)

Abstract

We analyze the impact of the financial crisis on the structure and the dynamics of the Italian inter-bank market, focusing on monthly banks’ assets and liabilities data between January 2007 and December 2010. The analysis is developed using an ad hoc dataset based on supervisory reports. The data contain nominative information, which allow us to identify different reporting entities and counterparts. We distinguish between intra-group and extra-group transactions, domestic and foreign counterparties, secured and unsecured positions, and short and long-term loans. We also analyse the relationships between big, medium and small groups and characterize the direction of funds between the group parent companies and the other banks of the group.

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Bibliographic Info

Paper provided by Bank of Italy, Economic Research and International Relations Area in its series Questioni di Economia e Finanza (Occasional Papers) with number 95.

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Date of creation: Jul 2011
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Handle: RePEc:bdi:opques:qef_95_11

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Web page: http://www.bancaditalia.it
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Keywords: interbank market; financial crisis;

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References

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  1. Paolo Angelini & Andrea Nobili & Maria Cristina Picillo, 2009. "The interbank market after August 2007: what has changed, and why?," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 731, Bank of Italy, Economic Research and International Relations Area.
  2. Paolo Emilio Mistrulli, 2007. "Assessing financial contagion in the interbank market: Maximum entropy versus observed interbank lending patterns," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 641, Bank of Italy, Economic Research and International Relations Area.
  3. Massimiliano Affinito, 2011. "Do interbank customer relationships exist? And how did they function in the crisis? Learning from Italy," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 826, Bank of Italy, Economic Research and International Relations Area.
  4. Michele Manna & Carmela Iazzetta, 2009. "The topology of the interbank market: developments in Italy since 1990," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 711, Bank of Italy, Economic Research and International Relations Area.
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Cited by:
  1. Luca Arciero & Ronald Heijmans & Richard Heuver & Marco Massarenti & Cristina Picillo & Francesco Vacirca, 2013. "How to measure the unsecured money market? The Eurosystem's implementation and validation using TARGET2 data," DNB Working Papers, Netherlands Central Bank, Research Department 369, Netherlands Central Bank, Research Department.
  2. Ronald Heijmans & Lola Hern´┐Żndez & Richard Heuver, 2013. "Determinants of the rate of the Dutch unsecured overnight money market," DNB Working Papers, Netherlands Central Bank, Research Department 374, Netherlands Central Bank, Research Department.
  3. Affinito, Massimiliano, 2013. "Central bank refinancing, interbank markets and the hypothesis of liquidity hoarding: evidence from a euro-area banking system," Working Paper Series, European Central Bank 1607, European Central Bank.

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