| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8859 |
| DP8859 Precautionary hoarding of liquidity and inter-bank markets: Evidence from the sub-prime crisis | |
| Viral Acharya; Ouarda Merrouche | |
| 发表日期 | 2012-02-01 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | We study the liquidity demand of large settlement (first-tier) banks in the UK and its effect on the Sterling Money Markets before and during the sub-prime crisis of 2007-08. Liquidity holdings of large settlement banks experienced on average a 30% increase in the period immediately following 9th August, 2007, the day when money markets froze, igniting the crisis. In the UK, unlike in the US until October 2008, the remuneration of reserves accounts provides strong incentives for banks to park liquidity at the central bank rather than lend in the market. We show that following this structural break, settlement bank liquidity had a precautionary nature in that it rose on calendar days with a large amount of payment activity and for banks with greater credit risk. We establish that the liquidity demand by settlement banks caused overnight inter-bank rates to rise and volumes to decline, an effect virtually absent in the pre-crisis period. This liquidity effect on inter-bank rates occurred in both unsecured borrowing as well as borrowing secured by UK government bonds. Further, using bilateral data we show that the effect was more strongly linked to lender risk than to borrower risk. |
| 主题 | Financial Economics |
| 关键词 | Cash Contagion Systemic risk Counterparty risk Money markets Funding risk Rollover risk |
| URL | https://cepr.org/publications/dp8859 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537683 |
| 推荐引用方式 GB/T 7714 | Viral Acharya,Ouarda Merrouche. DP8859 Precautionary hoarding of liquidity and inter-bank markets: Evidence from the sub-prime crisis. 2012. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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