Market microstructure, bank's behaviour and interbank spreads
AbstractWe present an empirical analysis of the European electronic interbank market of overnight lending (e-MID) during the years 1999–2009. The main goal of the paper is to explain the observed changes of the cross-sectional dispersion of lending/borrowing conditions before, during and after the 2007–2008 subprime crisis. Unlike previous contributions, that focused on banks’ dependent and macro information as explanatory variables, we address the role of banks’ behaviour and market microstructure as determinants of the credit spreads.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Department of Economics, City University London in its series Working Papers with number 12/06.
Date of creation: 2012
Date of revision:
Contact details of provider:
Postal: Department of Economics, Social Sciences Building, City University London, Whiskin Street, London, EC1R 0JD, United Kingdom,
Phone: +44 (0)20 7040 8500
Web page: http://www.city.ac.uk
More information through EDIRC
interbank lending; market microstructure; subprime crisis; credit spreads; liquidity management;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-10-20 (All new papers)
- NEP-BAN-2012-10-20 (Banking)
- NEP-EEC-2012-10-20 (European Economics)
- NEP-FMK-2012-10-20 (Financial Markets)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Marie Hoerova & Cornelia Holthausen & Florian Heider, 2009.
"Liquidity hoarding and interbank market spreads: the role of counterparty risk,"
2009 Meeting Papers
929, Society for Economic Dynamics.
- Heider, Florian & Hoerova, Marie & Holthausen, Cornelia, 2009. "Liquidity hoarding and interbank market spreads: the role of counterparty risk," Working Paper Series 1126, European Central Bank.
- Heider, Florian & Hoerova, Marie & Holthausen, Cornelia, 2010. "Liquidity Hoarding and Interbank Market Spreads: The Role of Counterparty Risk," CEPR Discussion Papers 7762, C.E.P.R. Discussion Papers.
- Heider, F. & Hoerova, M. & Holthausen, C., 2009. "Liquidity Hoarding and Interbank Market Spreads: The Role of Counterparty Risk," Discussion Paper 2009-40 S, Tilburg University, Center for Economic Research.
- Iori, Giulia & De Masi, Giulia & Precup, Ovidiu Vasile & Gabbi, Giampaolo & Caldarelli, Guido, 2008.
"A network analysis of the Italian overnight money market,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 32(1), pages 259-278, January.
- Iori, G. & Masi, G. D. & Precup, O. V. & Gabbi, G. & Caldarelli, G., 2005. "A network analysis of the Italian oversight money market," Working Papers 05/05, Department of Economics, City University London.
- François-Louis Michaud & Christian Upper, 2008. "What drives interbank rates? Evidence from the Libor panel," BIS Quarterly Review, Bank for International Settlements, March.
- Hamilton, James D, 1996. "The Daily Market for Federal Funds," Journal of Political Economy, University of Chicago Press, vol. 104(1), pages 26-56, February.
- Giulia Iori & Roberto Reno' & Giulia De Masi & Guido Caldarelli, 2006.
"Trading strategies in the Italian interbank market,"
- Iori, Giulia & Renò, Roberto & De Masi, Giulia & Caldarelli, Guido, 2007. "Trading strategies in the Italian interbank market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 467-479.
- Iori, G. & Reno, R. & de Masi, G. & Caldarelli, G., 2006. "Trading strategies in the Italian interbank market," Working Papers 06/03, Department of Economics, City University London.
- Beaupain, Renaud & Durré, Alain, 2008. "The interday and intraday patterns of the overnight market: evidence from an electronic platform," Working Paper Series 0988, European Central Bank.
- Angelo Baglioni & Andrea Monticini, 2008. "The Intraday Price of Money: Evidence from the e-MID Interbank Market," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(7), pages 1533-1540, October.
- Viral V. Acharya & Ouarda Merrouche, 2010.
"Precautionary Hoarding of Liquidity and Inter-Bank Markets: Evidence from the Sub-prime Crisis,"
NBER Working Papers
16395, National Bureau of Economic Research, Inc.
- Viral V. Acharya & Ouarda Merrouche, 2013. "Precautionary Hoarding of Liquidity and Interbank Markets: Evidence from the Subprime Crisis," Review of Finance, European Finance Association, vol. 17(1), pages 107-160.
- Acharya, Viral V & Merrouche, Ouarda, 2012. "Precautionary hoarding of liquidity and inter-bank markets: Evidence from the sub-prime crisis," CEPR Discussion Papers 8859, C.E.P.R. Discussion Papers.
- Michele Manna & Carmela Iazzetta, 2009. "The topology of the interbank market: developments in Italy since 1990," Temi di discussione (Economic working papers) 711, Bank of Italy, Economic Research and International Relations Area.
- Angelo Baglioni & Andrea Monticini, 2008.
"The intraday interest rate under a liquidity crisis: the case of August 2007,"
DISCE - Quaderni dell'Istituto di Economia e Finanza
ief0083, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
- Baglioni, Angelo & Monticini, Andrea, 2010. "The intraday interest rate under a liquidity crisis: The case of August 2007," Economics Letters, Elsevier, vol. 107(2), pages 198-200, May.
- Eisenschmidt, Jens & Tapking, Jens, 2009. "Liquidity risk premia in unsecured interbank money markets," Working Paper Series 1025, European Central Bank.
- 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)
731, Bank of Italy, Economic Research and International Relations Area.
- Paolo Angelini & Andrea Nobili & Cristina Picillo, 2011. "The Interbank Market after August 2007: What Has Changed, and Why?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(5), pages 923-958, 08.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Research Publications Librarian).
If references are entirely missing, you can add them using this form.