| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15806 |
| 来源ID | Working Paper 15806 |
| Stressed not Frozen: The Fed Funds Market in the Financial Crisis | |
| Gara Afonso; Anna Kovner; Antoinette Schoar | |
| 发表日期 | 2010-03-11 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | This paper examines the impact of the financial crisis of 2008 on the federal funds market, specifically the bankruptcy of Lehman Brothers. Rather than a complete collapse of lending in the presence of a market wide shock, we see that banks become more restrictive in which counterparties they lend to. After Lehman Brothers, we find that amounts and spreads become more sensitive to borrower bank characteristics. While the market does not contract dramatically, lending rates increase. Further, the market does not seem to expand to meet the increased demand predicted by the drop in other bank funding markets. We examine discount window borrowing as a proxy for unmet fed funds demand and find that the fed funds market is not indiscriminate. As expected, borrowers who access the discount window have lower ROA. When looking at the lender side we do not find that the characteristics of the lending bank importantly affect the amount of interbank loans a bank makes. In particular, we do not find that worse performing banks start hoarding liquidity and indiscriminately reduce their lending. |
| 主题 | Financial Economics ; Financial Institutions ; Corporate Finance |
| URL | https://www.nber.org/papers/w15806 |
| 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/573481 |
| 推荐引用方式 GB/T 7714 | Gara Afonso,Anna Kovner,Antoinette Schoar. Stressed not Frozen: The Fed Funds Market in the Financial Crisis. 2010. |
| 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 | ||
| w15806.pdf（628KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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