Liquidity hoarding and interbank market rates: The role of counterparty risk

Heider, Florian; Hoerova, Marie; Holthausen, Cornelia

doi:10.1016/j.jfineco.2015.07.002

Cited by 203 publications

(74 citation statements)

References 37 publications

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“…Other papers such as Heider, Hoerova, and Holthausen (2015), Acharya and Merrouche (2013), or Acharya and Skeie (2011) model the interbank market breakdown after the Lehman's failure in 2008. In these papers, the increase in the amount of liquidity is the result of liquidity hoarding.…”

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confidence: 99%

Monetary Policy Transmission with Interbank Market Fragmentation

Vari¹

2019

J of Money Credit Banking

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This paper shows how interbank market fragmentation disrupts the transmission of monetary policy. Fragmentation is the fact that banks, depending on their country of location, have different probabilities of default on their interbank borrowings. Once fragmentation is introduced into standard theoretical models of monetary policy implementation, excess liquidity arises endogenously. This leads short‐term interest rates to depart from the central bank policy rates. Using data on monetary policy operations, I show that this mechanism has been at work in the euro area since 2008. The model is used to analyze conventional and unconventional monetary policy measures.

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confidence: 99%

Monetary Policy Transmission with Interbank Market Fragmentation

Vari¹

2019

J of Money Credit Banking

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“…The authors also suggested doing further research for the purpose of systemic risk assessments of the interbank market behaviour to provide further guidelines for supervisory authorities. Besides the findings, in 't Veld & van Lelyveld (2014) suggested more research on the additional of the relevant buffer factors and systemic shock to have better empirical evidence.…”

Section: Literature Reviewmentioning

confidence: 87%

Adjustment of interbank lending in pre- and post-regulation periods: Empirical analysis of Vietnamese commercial banks

Tung

2017

Journal of International Studies

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Abstract.This article aims to analyze the interbank lending adjustment during the period when Vietnamese commercial banks are compliant with some parts of the Basel regulation framework. A pilot regulation period has started in 2011 and full application will be effective by the end of 2018. Partial adjustment models and variance decomposition are used for the analyses. In the analysis of the quarterly released financial statements of Vietnamese commercial banks in the period from 2008/Q1 to 2015/Q4, the empirical evidence showed that throughout the period, lending to non-bank and high liquidity assets contributed to the adjustment in both long run and short run with a negative association. In addition, the loan loss allowance contributed to the adjustment in the post-regulation period only with a positive association. These highly contributing factors also show a potential shock after the adjustment of the interbank lending. The results imply there is a need for interbank lending portfolio report and an efficient control over the IRB of Vietnamese commercial banks.

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“…Interest rate is determined by the interaction between the money supply and demand for the supply; the liquidity preference approach. The factor of interest can also be viewed to express the level of market risk (English et al, 2018;Heider et al, 2015). The present study considers both the real interest rate and deposit interest rate.…”

Section: Descriptions Of the Variablesmentioning

confidence: 99%