全球智库信息集成服务系统(G2TT): DP10901 Lending-of-last-resort is as lending-of-last-resort does: Central bank liquidity provision and interbank market functioning in the euro area

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP10901
	DP10901 Lending-of-last-resort is as lending-of-last-resort does: Central bank liquidity provision and interbank market functioning in the euro area
	Florian Heider; Simone Manganelli; Marie Hoerova
发表日期	2015-10-25
出版年	2015
语种	英语
摘要	This paper investigates the impact of ample liquidity provision by the European Central Bank on the functioning of the overnight unsecured interbank market from 2008 to 2014. We use novel data on interbank transactions derived from TARGET2, the main euro area payment system. To identify exogenous shocks to central bank liquidity, we exploit the timing of ECB liquidity operations and use a simple structural vector auto-regression framework. We argue that the ECB acted as a de-facto lender-of-last-resort to the euro area banking system and identify two main effects of central bank liquidity provision on interbank markets. First, central bank liquidity replaces the demand for liquidity in the interbank market, especially during the financial crisis (2008-2010). Second, it increases the supply of liquidity in the interbank market in stressed countries (Greece, Italy and Spain) during the sovereign debt crisis (2011-2013).
主题	Financial Economics
关键词	Lender-of-last-resort Financial crisis Sovereign debt crisis Central bank policy Interbank markets
URL	https://cepr.org/publications/dp10901
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/539731
推荐引用方式 GB/T 7714	Florian Heider,Simone Manganelli,Marie Hoerova. DP10901 Lending-of-last-resort is as lending-of-last-resort does: Central bank liquidity provision and interbank market functioning in the euro area. 2015.