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A Network View on Interbank Market Freezes

Author

Listed:
  • Co-Pierre Georg
  • Silvia Gabrieli
Abstract
We study the liquidity allocation among European banks around the Lehman insolvency using a novel dataset of all interbank loans settled via the Eurosystem’s payment system TARGET2. Following the Lehman insolvency, lenders in the overnight segment become sensitive to counterparty characteristics and banks start hoarding liquidity by shortening the maturity of their interbank lending. This […]

Suggested Citation

  • Co-Pierre Georg & Silvia Gabrieli, 2015. "A Network View on Interbank Market Freezes," Working Papers 488, Economic Research Southern Africa.
    • Handle: RePEc:rza:wpaper:488
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Banking Regulation; Financial Stability;

    JEL classification:

    • D85 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Network Formation
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
    • G1 - Financial Economics - - General Financial Markets
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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