G2TT
来源类型Discussion paper
规范类型论文
来源IDDP8859
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
URLhttps://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.
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