Cross-border interbank liquidity, crises, and monetary policy

• 成果类型: Article
• 署名作者: Abbassi, Puriya; Braeuning, Falk; Fecht, Falko; Peydro, Jose-Luis
• 署名单位: Deutsche Bundesbank; Federal Reserve System - USA; Federal Reserve Bank - Boston; Frankfurt School Finance & Management; Imperial College London
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2022.103657
• 发表日期: 2022
• 关键词: International liquidity; financial crises; Cross-border lending; monetary policy; banks

摘要

We analyze how the Lehman and sovereign crises affect cross-border interbank liquidity, exploiting euro-area proprietary interbank data, crisis and monetary shocks, and loan terms to the same borrower during the same day by domestic versus foreign lenders. Crisis shocks reduce the supply of cross-border liquidity, with stronger volume than pricing effects. On the extensive margin, results suggest that the cross-border credit crunch is independent of bor-rower quality, while-on the intensive margin-riskier borrower banks suffer more. Moreover, the cross-border liquidity crunch is substantially stronger for term loans, and weaker for for-eign lender banks that have a subsidiary in the same country than the borrower. Finally, non-standard monetary policy improves interbank liquidity, but without fostering strong re-integration of cross-border interbank markets.(c) 2022 Published by Elsevier B.V.