|Researchers:||Jan Pieter Krahnen|
|Category:||Financial Intermediation, Systemic Risk Lab|
The financial crisis of 2008 forced many banks to rely on direct liquidity support from the European Central Bank leaving the interbank market partly dysfunctional. However, since non-standard monetary policy measures will have to be wound down soon the understanding of this crucial part of the financial system is highly important. The approach of this research proposal is threefold. First, two confidential datasets provided by the Bundesbank are compiled and merged capturing bilateral interbank exposures and detailed banks’ balance sheet information. Second, taking a system perspective the project analyzes the formation of interbank exposures over time extending standard measures from complex system analysis. Third, state-of-the-art dynamic panel probit and tobit models are used to investigate micro- and macro-based explanatory variables which provide information on bilateral network formation in the interbank market. Finally, the project also sheds light on the changing role of interbank markets.
The work so far shows evidence for (i) a highly stable network of exposures among banks, (ii) interbank network (in/out degree, interconnectedness) and loan volume being highly correlated with macroeconomic variables, (iii) banks funding themselves on the interbank market after providing more credit to the real economy, (iv) banks providing more liquidity on the interbank market subsequent to increasing previous deposit inflows.
|Marcel Bluhm||Persistent Liquidity Shocks and Interbank Funding|
Journal of Financial Stability
|2018||Financial Intermediation, Systemic Risk Lab||Financial fragility, Interbank market, Liquidity, Maturity, Network|