e-MID Interbank Market
Information theoretic description of the e-Mid interbank market: implications for systemic risk
... the e-Mid interbank market transactions and quantify topological changes of the resulting credit network at or near events that where considered pivotal in the 2007-2008 credit ...the ...
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Quantifying preferential trading in the e-MID interbank market
... the e-MID market with a null hypothesis assuming random trading between banks that perform a heterogeneous number of transactions as borrowers and ...the e-MID interbank ...
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Network Centrality and Funding Rates in the e-MID Interbank Market
... Our results show that network measures are significant determinants of funding rates in the e-MID O/N market. Local measures show that having more links increases borrowing costs for borrowers and ...
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Networked relationships in the e-MID Interbank market: A trading model with memory
... functioning interbank markets effectively channel liquidity from in- stitutions with surplus funds to those in need and thus play a key role in banks liquidity management and the transmission of monetary ...of ...
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Network Centrality and Funding Rates in the e-MID Interbank Market
... of interbank networks has been mapped for several countries, the topology of interbank markets has been characterized and the stylized facts and regularities have been ...Austrian interbank ...
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Network Centrality and Funding Rates in the e-MID Interbank Market
... Permanent repository link: http://openaccess.city.ac.uk/13022/ Link to published version: http://dx.doi.org/10.1016/j.jfs.2016.11.003 Copyright and reuse: City Research Online aims to ma[r] ...
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Structural distortions in the Euro interbank market: the role of 'key players' during the recent market turmoil
... of e-Mid? Tables 7 and 8 report some descriptive statistics on the borrowing activities of the big providers and the big losers, ...The market is characterized by some big providers that never ...the ...
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The role of bank relationships in the interbank market
... the e-MID data ...the e-MID market only, and not a global measure, as they do not take into account lending and borrowing transactions happening simultaneously in the OTC ...the ...
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Trading strategies in the Italian interbank market
... Credit institutions in the Euro area are required to hold minimum reserve balances within National Central Banks. Reserves provide a buffer against unexpected liquidity shocks, mitigating the related fluctuations of ...
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Bank characteristics and the interbank money market: a distributional approach
... the e-MID market in the aftermath of the 2007 interbank crisis obtained in the preceding periods higher borrowing rates than those banks that remained in the ...lending market; bank ...
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Market microstructure, bank's behaviour and interbank spreads
... Europe, interbank trades are executed in all these ...electronic market for interbank deposits in the Euro area and the USA is the e-MID (Mercato Interbancario dei ...the market ...
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Fitness model for the Italian interbank money market
... the interbank market with the objec- tive to satisfy the reserve requirement and in order to minimize the reserve implicit costs[18, 19, ...the e-MID(ref ...
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A fitness model for the Italian interbank money market
... the interbank market with the objec- tive to satisfy the reserve requirement and in order to minimize the reserve implicit costs[18, 19, ...the e-MID(ref ...
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The Cross-Section of Interbank Rates: A Nonparametric Empirical Investigation
... Our sample covers a non-crisis and a crisis periods. The number of active countries in the e-MID market over both periods is sixteen. Most of these countries have adhered the Euro currency. These ...
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Trading strategies in the Italian interbank market
... Credit institutions in the Euro area are required to hold minimum reserve balances within National Central Banks. Reserves provide a buffer against unexpected liquidity shocks, mitigating the related fluctuations of ...
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Interbank Market Failure and the Effects of the Basel III Regulations in a DSGE Model for Iran
... of interbank lending are presented in this ...this market, the impact of a positive interbank innovation on the dynamics of the economy was ...deviation interbank market interest rate ...
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An Agent-Based Approach to Interbank Market Lending Decisions and Risk Implications
... 43 interbank market with different bank risk ...equilibrium interbank network of 44 lending and borrowing that is formed under varying lending ...modeled interbank market under these ...
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Banks Belonging to the Erste Group and their Sensitivity to the Confidence Crisis on the Interbank Market
... Based on these studies, we will model a confi dence crisis on the interbank market by withdrawal of 20% of interbank deposits. This means both the decrease of dues from banks and dues to banks. To ...
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Some borrowers are more equal than others: Bank funding shocks and credit reallocation National Bank of Belgium, Working Paper No 361
... Estimations on the sample of multiple bank borrowers allow for the inclusion of firm fixed effects, which is the most conservative way to control for firm demand and is the current standard in the literature. However, it ...
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How related are interbank and lending interest rates? Evidence on selected EU countries
... We use EURIBOR and PRIBOR as interest rate of the euro area and the Czech Republic interbank market respectively. The lending rate is defined as the interest rate of loans granted in three maturity ...
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