Precautionary Hoarding of Liquidity and Interbank Markets: Evidence from the Subprime Crisis

被引：169

作者：

Acharya, Viral V. ^{[1
,2
,4
]}

Merrouche, Ouarda ^{[3
]}

机构：

[1] NYU Stern, CEPR, New York, NY USA

[2] NBER, Cambridge, MA 02138 USA

[3] World Bank, Washington, DC USA

[4] London Business Sch, London, England

来源：

REVIEW OF FINANCE | 2013年 / 17卷 / 01期

关键词：

SYSTEMIC RISK; ILLIQUIDITY; MODEL;

D O I：

10.1093/rof/rfs022

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study the liquidity demand of large settlement banks in the UK and its effect on the money markets before and during the subprime crisis of 2007-08. We find that the liquidity demand of large settlement banks experienced a 30% increase in the period immediately following August 9 2007, the day when money markets froze, igniting the crisis. Following this shift, liquidity demand had a precautionary nature in that it rose on days of high payment activity and for banks with greater credit risk. This caused overnight interbank rates to rise, an effect virtually absent in the precrisis period.

引用

页码：107 / 160

页数：54

共 50 条

[1] Funding liquidity and equity liquidity in the subprime crisis period: Evidence from the ETF market
Chiu, Junmao
Chung, Huimin
Ho, Keng-Yu
Wang, George H. K.
JOURNAL OF BANKING & FINANCE, 2012, 36 (09) : 2660 - 2671
[2] Interbank liquidity risk transmission to large emerging markets in crisis periods
Sifat, Imtiaz
Zarei, Alireza
Hosseini, Seyedmehdi
Bouri, Elie
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2022, 82
[3] Contagion and supervision of liquidity crisis in interbank markets: Based on the SIS network model
Chen, Naixi
Fan, Hong
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2023, 629
[4] Epidemics of liquidity shortages in interbank markets
Brandi, Giuseppe
Di Clemente, Riccardo
Cimini, Giulio
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2018, 507 : 255 - 267
[5] The Performance of Liquidity in the Subprime Mortgage Crisis
Langley, Paul
NEW POLITICAL ECONOMY, 2010, 15 (01) : 71 - 89
[6] Liquidity hoarding and interbank market rates: The role of counterparty risk
Heider, Florian
Hoerova, Marie
Holthausen, Cornelia
JOURNAL OF FINANCIAL ECONOMICS, 2015, 118 (02) : 336 - 354
[7] Interbank Liquidity Crunch and the Firm Credit Crunch: Evidence from the 2007-2009 Crisis
Iyer, Rajkamal
Peydro, Jose-Luis
da-Rocha-Lopes, Samuel
Schoar, Antoinette
REVIEW OF FINANCIAL STUDIES, 2014, 27 (01): : 347 - 372
[8] Bank Liquidity, Interbank Markets, and Monetary Policy
Freixas, Xavier
Martin, Antoine
Skeie, David
REVIEW OF FINANCIAL STUDIES, 2011, 24 (08): : 2656 - 2692
[9] Investigating risk contagion initiated by endogenous liquidity shocks: evidence from the US and eurozone interbank markets
Eross, Andrea
Urquhart, Andrew
Wolfe, Simon
EUROPEAN JOURNAL OF FINANCE, 2019, 25 (01): : 35 - 53
[10] Competition in fragmented markets: New evidence from the German banking industry in the light of the subprime crisis
Moch, Nils
JOURNAL OF BANKING & FINANCE, 2013, 37 (08) : 2908 - 2919

← 1 2 3 4 5 →