| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15158 |
| 来源ID | Working Paper 15158 |
| The 2007 Subprime Market Crisis Through the Lens of European Central Bank Auctions for Short-Term Funds | |
| Nuno Cassola; Ali Hortacsu; Jakub Kastl | |
| 发表日期 | 2009-07-16 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | In this paper we study European banks' demand for short-term funds (liquidity) during the summer 2007 subprime market crisis. We use bidding data from the European Central Bank's auctions for one-week loans, their main channel of monetary policy implementation. Through a model of bidding, we show that banks' behavior reflects their cost of obtaining short-term funds elsewhere (i.e., in the interbank market) as well as a strategic response to other bidders. We find considerable heterogeneity across banks in their willingness to pay for short-term funds supplied in these auctions. Accounting for the strategic component is important: while a naive interpretation of the raw bidding data may suggest that virtually all banks suffered a dramatic increase in the cost of obtaining funds in the interbank market, we find that for about one third of the banks, the change in bidding behavior was simply a strategic response. Using a complementary data set, we also find that banks' pre-turmoil liquidity costs, as estimated by our model, are predictive of their post-turmoil liquidity costs, and that there is considerable heterogeneity in these costs with respect to the country-of-origin. Finally, among the publicly traded banks, the willingness to pay for short-term funds in the second half of 2007 are predictive of stock prices in late 2008. |
| 主题 | Microeconomics ; Market Structure and Distribution ; General Equilibrium ; Macroeconomics ; Monetary Policy ; Financial Economics |
| URL | https://www.nber.org/papers/w15158 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/572834 |
| 推荐引用方式 GB/T 7714 | Nuno Cassola,Ali Hortacsu,Jakub Kastl. The 2007 Subprime Market Crisis Through the Lens of European Central Bank Auctions for Short-Term Funds. 2009. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w15158.pdf（599KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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