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Author : Falk Bräuning
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (959 download)
Download or read book Relationship Lending in the Interbank Market and the Price of Liquidity written by Falk Bräuning and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jonathan Chiu
Publisher :
ISBN 13 :
Total Pages : 75 pages
Book Rating : 4.:/5 (1 download)
Download or read book Relationships in the Interbank Market written by Jonathan Chiu and published by . This book was released on 2016 with total page 75 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 : 9783957291110
Total Pages : pages
Book Rating : 4.2/5 (911 download)
Download or read book Cross-border Liquidity, Relationships and Monetary Policy written by and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Puriya Abbassi
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (95 download)
Download or read book Cross-border Liquidity, Relationships and Monetary Policy written by Puriya Abbassi and published by . This book was released on 2015 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze the impact of financial crises and monetary policy on the supply of wholesale funding liquidity, and also on the compositional supply effects through cross-border and relationship lending. For empirical identification, we draw on the proprietary bank-to-bank European interbank dataset extracted from Target2 and also exploit the Lehman and sovereign crisis shocks as well as the main Eurosystem non-standard monetary policy measures. The robust results imply that the crisis shocks lead to worse access, volumes and spreads (in both the overnight and longer-term maturities). The quantitative impact on interbank access and volume is stronger than on spreads. Liquidity supply restrictions are exacerbated for cross-border lending after the Lehman failure; for banks headquartered in periphery countries, the impact is quantitatively stronger in the sovereign debt crisis. Moreover, the interbank market -- unlike other credit markets -- allows to exploit the price dispersion from different lenders on identical credit contracts, i.e. overnight uncollateralized loans in the same morning for the same borrower. This price dispersion increases massively with the crisis, and even more for riskier borrowers. Cross-border and previous relationship lenders charge higher prices for identical contracts in the crisis. Importantly, this price dispersion substantially decreases when the Eurosystem promises unlimited access to liquidity at a fixed price in October 2008 and announces the 3-year LTRO in December 2011, with economically stronger effects for borrowers in weaker countries.
Author :
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Relationships in the Interbank Market written by and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The market for central bank reserves is mainly over-the-counter and exhibits a core-periphery network structure. This paper develops a model of relationship lending in the unsecured interbank market. In equilibrium, a tiered lending network arises endogenously as banks choose to build relationships to insure against liquidity shocks and to economize on the cost to trade in the interbank market. Relationships matter for banks' bidding strategies at the central bank auction and introduce a relationship premium that can significantly distort the observed overnight rate. For example, it can explain some anomalies in the level of interest rates-namely, that banks sometimes trade above (below) the central bank's lending (deposit) rate. The model also helps to explain how monetary policy affects the network structure of the interbank market and its functioning, and how the market responds dynamically to an exit from the floor system. We also use the model to discuss the potential effects of bilateral exposure limits on relationship lending.
Author : Y. Altunbas
Publisher : Springer
ISBN 13 : 0230597238
Total Pages : 277 pages
Book Rating : 4.2/5 (35 download)
Download or read book Syndicated Loans written by Y. Altunbas and published by Springer. This book was released on 2006-05-05 with total page 277 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines the development of the international syndicated credits market over the past three decades. Bringing together views of practitioners and academics it provides original answers to unexplored research questions. With extensive coverage and thought-provoking insights, the book is of value to students, practitioners and academics.
Author : Joao F. Cocco
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (129 download)
Download or read book Lending Relationships in the Interbank Market written by Joao F. Cocco and published by . This book was released on 2005 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper is an empirical study of lending relationships among banks in the interbank market. We use a unique data set to construct a dynamic measure of relationships, namely the intensity of trading volume between the lender and borrower, as a percentage of their trading volume with all market participants, in the recent past. We find that relationships allow market participants to obtain insurance against a shortage of funds during the reserve maintenance period. We also find evidence that relationships tend to be established between banks whose liquidity shocks are less correlated, for whom the gains from the relationship are also larger. These results support the view that relationships play an important role in promoting stability of the Interbank Market.
Author : Ben R. Craig
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (13 download)
Download or read book The Role of Interbank Relationships and Liquidity Needs written by Ben R. Craig and published by . This book was released on 2016 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we focus on the interconnectedness of banks and the price they pay for liquidity. We assess how the concentration of credit relationships and the position of a bank in the network topology of the system influence the bank's ability to meet its liquidity demand. We use quarterly data of bilateral interbank credit exposures between all German banks from 2000 to 2008 to measure interbank relationships and the network characteristics. We match these data with the bids placed by the individual banks in the European Central Bank's (ECB) weekly repo auctions. The bids measure each bank's willingness to pay for liquidity since they had variable rate tenders with a 'pay-your-bid' price. Controlling for bank characteristics and the daily fulfillment of reserve requirements, we find that banks with a more diversified borrowing structure in the interbank market bid significantly less aggressively and pay a lower price for liquidity in the ECB's main refinancing operations. These findings suggest that incentives to diversify bank liquidity risk dominate the benefits of private information. When the network position of the bank is taken into account, we find that central lenders in the money market bid more aggressively in the auctions.
Author : Gara Afonso
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (931 download)
Download or read book Trading Partners in the Interbank Lending Market written by Gara Afonso and published by . This book was released on 2013 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: There is substantial heterogeneity in the structure of trading relationships in the U.S. overnight interbank lending market: Some banks rely on spot transactions, while most form stable, concentrated borrowing relationships to hedge liquidity needs. As a result, borrowers pay lower prices and borrow more from their concentrated lenders. Exogenous shocks to liquidity supply (days with low GSE lending) lead to marketwide drops in liquidity and a rise in interest rates. However, borrowers with concentrated lenders are almost completely insulated from the shocks, while liquidity transmission affects the rest of the market via higher interest rates and reduced borrowing volumes. -- interbank lending ; OTC markets
Author : Falko Fecht
Publisher :
ISBN 13 : 9783865584809
Total Pages : 0 pages
Book Rating : 4.5/5 (848 download)
Download or read book The Price of Liquidity written by Falko Fecht and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Miguel Sarmiento
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (13 download)
Download or read book Liquidity Shocks, Market Discipline and Liquidity Risk written by Miguel Sarmiento and published by . This book was released on 2018 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the impact of exogenous liquidity shocks on banks borrowing funds in the interbank market. We evaluate the effects of idiosyncratic liquidity shocks -- arising from deposits outflow at the bank level -- and of the aggregate liquidity shock related to the U.S. tapering observed in May 2013. We find that both liquidity shocks are associated with higher interbank loan prices, albeit the magnitude of the overprice and the impact on the access to interbank liquidity differ depending on borrower-specific characteristics. More capitalized and liquid banks can obtain lower prices and gain more access to the interbank market, even during liquidity shocks. Small banks are found to suffer more in terms of finding liquidity as their own credit risk and liquidity risk increase, and are more affected by liquidity shocks when compared to large banks. Lending relationships and central bank liquidity alleviate funding costs and smooth the impact of liquidity shocks. Results have implications for both financial stability and monetary policy transmission.
Author : Hans Degryse
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (115 download)
Download or read book Relationship Lending During a Trust Crisis on the Interbank Market written by Hans Degryse and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yiyi Bai
Publisher :
ISBN 13 :
Total Pages : 37 pages
Book Rating : 4.:/5 (13 download)
Download or read book Lending Relationships and the Transmission of Liquidity Shocks written by Yiyi Bai and published by . This book was released on 2017 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: We exploit a liquidity crunch of 2013 in China as a negative shock to banks and analyze the wealth effects on listed firms. Our findings show that liquidity shocks to financial institutions impact borrowers' performance negatively. However, firms having long-term relationship with banks outperformed in stock market and subsequently experiecend a smaller decline in cash holding than their peers without such relationship. This effect is the strongest for firms whose relationship banks are foreign banks, and the weakest for firms whose relationship banks are local banks. We also document a positive correlation between firms' stock performances and their banks' stock performances, as well as banks' liquidity in the interbank market. These results suggest that banks transmit liquidity shocks to their borrowing firms and that the long-term bank-firm relationship can mitigate such negative effcts.
Author : Ben Craig
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.3/5 ( download)
Download or read book Interbank Tiering and Money Center Banks written by Ben Craig and published by . This book was released on 2010 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Massimo Massa
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (129 download)
Download or read book The Dark Side of Bank-Firm Relationships written by Massimo Massa and published by . This book was released on 2015 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the trade-off between liquidity and monitoring implicit in the bank-firm relationship. By virtue of their lending activity, banks have privileged access to inside information about the companies and their monitoring role helps them mitigate the managers' risk-taking behavior. However, banks can also act as an quot;insiderquot; and exploit this privileged information in the financial markets. We show that a more exclusive and geographically closer relationship with the lender increases the illiquidity of the stock of the borrowing firm and reduces both, its trading volume as well as its aggregate volatility. We explain the reduction in volatility in terms of lower incentives for the mangers to take on risk. The fact that firms borrowing from closer banks reward their mangers with less options- or equity-based compensation (as opposed to fixed compensation) supports our claim about reduced risk-taking. Simultaneously, however, a more exclusive relationship with the banks leads to a higher options- and equity-based compensation. Next, focusing on the effect upon firm value, we show that the extent of information asymmetry inherent in the lending relationship - captured here by the proximity to the banks - negatively affects firm value. On the other hand, the power of the bank derived from its role as a monitor - captured in our case by the exclusivity of the lending relationship - positively affects firm value. Overall, we illustrate a new quot;corporate governancequot; channel and our findings provide a fresh perspective on how lending relationships affect the firm.
Author : Bengt Holmstrom
Publisher : MIT Press
ISBN 13 : 0262518538
Total Pages : 263 pages
Book Rating : 4.2/5 (625 download)
Download or read book Inside and Outside Liquidity written by Bengt Holmstrom and published by MIT Press. This book was released on 2013-01-11 with total page 263 pages. Available in PDF, EPUB and Kindle. Book excerpt: Two leading economists develop a theory explaining the demand for and supply of liquid assets. Why do financial institutions, industrial companies, and households hold low-yielding money balances, Treasury bills, and other liquid assets? When and to what extent can the state and international financial markets make up for a shortage of liquid assets, allowing agents to save and share risk more effectively? These questions are at the center of all financial crises, including the current global one. In Inside and Outside Liquidity, leading economists Bengt Holmström and Jean Tirole offer an original, unified perspective on these questions. In a slight, but important, departure from the standard theory of finance, they show how imperfect pledgeability of corporate income leads to a demand for as well as a shortage of liquidity with interesting implications for the pricing of assets, investment decisions, and liquidity management. The government has an active role to play in improving risk-sharing between consumers with limited commitment power and firms dealing with the high costs of potential liquidity shortages. In this perspective, private risk-sharing is always imperfect and may lead to financial crises that can be alleviated through government interventions.
Author : Yiyi Bai
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (13 download)
Download or read book Does Lending Relationship Help Or Alleviate the Transmission of Liquidity Shocks? Evidence from a Liquidity Crunch in China written by Yiyi Bai and published by . This book was released on 2018 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine China's June 2013 liquidity crunch as a negative shock to banks and analyze the wealth effects on exchange-listed firms. Our findings suggest that liquidity shocks to financial institutions negatively impact borrower performance, particularly borrowers reporting outstanding loans at the end of 2012. Stock valuations of firms with long-term bank relationships, however, outperform the market and experience smaller subsequent declines in investment than peers lacking solid banking relationships. This effect is the strongest for firms that enjoy good relations with China's large state-owned banks or foreign banks, and weakest for firms whose connections are solely with local banks. We document a positive correlation between the stock performances of firms and the stock performances of lender banks and the likelihood of lender banks operating as net lenders in the interbank market. These results suggest that banks transmit liquidity shocks to their borrowing firms and that a long-term bank-firm relationship may mitigate the negative effects of a liquidity shock.
