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
收藏
页码：107 / 160
页数：54
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