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

被引：174

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 36 条

[1]

Acharya V., 2009, Securitization without risk transfer

[2] Imperfect Competition in the Interbank Market for Liquidity as a Rationale for Central Banking [J].

Acharya, Viral V. ;

Gromb, Denis ;

Yorulmazer, Tanju .

AMERICAN ECONOMIC JOURNAL-MACROECONOMICS, 2012, 4 (02) :184-217

[3] A model of liquidity hoarding and term premia in inter-bank markets [J].

Acharya, Viral V. ;

Skeie, David .

JOURNAL OF MONETARY ECONOMICS, 2011, 58 (05) :436-447

[4] Crisis Resolution and Bank Liquidity [J].

Acharya, Viral V. ;

Shin, Hyun Song ;

Yorulmazer, Tanju .

REVIEW OF FINANCIAL STUDIES, 2011, 24 (06) :2166-2205

[5] A theory of systemic risk and design of prudential bank regulation [J].

Acharya, Viral V. .

JOURNAL OF FINANCIAL STABILITY, 2009, 5 (03) :224-255

[6] Stressed, Not Frozen: The Federal Funds Market in the Financial Crisis [J].

Afonso, Gara ;

Kovner, Anna ;

Schoar, Antoinette .

JOURNAL OF FINANCE, 2011, 66 (04) :1109-1139

[7] Financial contagion [J].

Allen, F ;

Gale, D .

JOURNAL OF POLITICAL ECONOMY, 2000, 108 (01) :1-33

[8]

Allen F., 2008, Interbank market liquidity and Central Bank intervention

[9]

Allen F., 2008, ROLE LIQUIDITY UNPUB

[10] The cash flow sensitivity of cash [J].

Almeida, H ;

Campello, M ;

Weisbach, MS .

JOURNAL OF FINANCE, 2004, 59 (04) :1777-1804

← 1 2 3 4 →