کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7364642 1479107 2016 23 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Hoarding and short-squeezing in times of crisis: Evidence from the Euro overnight money market
ترجمه فارسی عنوان
هجوم و کوتاه شدن در زمان بحران: شواهد از بازار یورو یک شبه پول
کلمات کلیدی
تامین مالی نقدینگی، ریسک نقدینگی، نرخ بهره شبانه، ذخیره سازی نقدینگی، کوتاه کردن فشرده،
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
We study at an individual level the prices that banks pay for liquidity, measured here by overnight rates charged for unsecured loans on the e-MID trading platform, which is an important and transparent money market for European banks. Using data from both before and within crisis sub-periods, we provide evidence that borrower's and lender's own liquidity status has a significant impact on overnight rates, both before and during the turmoil periods. We first review the literature focused on the role of liquidity risk in the recent interbank turmoil. We then implement an integrative LSDV estimation to assess the determinants of e-MID overnight rates. In these regressions, we put together measures of the three types of factors that have received theoretical and empirical support, namely, counterparty risk, liquidity factors and market imperfections. We find that even when counterparty risk and market imperfections are controlled for, banks with higher funding liquidity risk pay an interest rate premium. We show that this is probably explained by hoarding and short-squeezing behavior of liquidity-long banks. These phenomena disappeared when the ECB launched its full allotment policy in October 2008.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 40, January 2016, Pages 163-185
نویسندگان
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