The urgency to borrow in the interbank market

被引：1

作者：

Brunetti, Celso ^{[1
]}

Harris, Jeffrey H. ^{[2
]}

Mankad, Shawn ^{[3
]}

机构：

[1] Fed Reserve Board, Washington, DC USA

[2] Amer Univ, Washington, DC USA

[3] North Carolina State Univ, Poole Coll Management, 2801 Founders Dr, Raleigh, NC 27607 USA

来源：

ECONOMICS LETTERS | 2022年 / 221卷

基金：

美国国家科学基金会;

关键词：

Trading urgency; Credit default swaps; ECB operations; Liquidity; Sovereign-bank nexus; SOVEREIGN; RISK;

D O I：

10.1016/j.econlet.2022.110900

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We study the motivations of interbank market traders around the 2007-09 subprime crisis with a new statistic, Trading Urgency, that reveals the underlying urgency to borrow overnight funds. We find that Trading Urgency leads sovereign CDS spreads and reacts to non-standard central bank interventions introduced during the crisis. Our results shed light on the channels that give rise to the sovereign-bank nexus by mapping the linkages between the interbank market and sovereigns.(c) 2022 Elsevier B.V. All rights reserved.

引用

页数：4

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