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http://hdl.handle.net/10419/64813
  

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dc.contributor.authorBräuning, Falken_US
dc.contributor.authorFecht, Falkoen_US
dc.date.accessioned2012-10-04en_US
dc.date.accessioned2012-10-11T12:59:36Z-
dc.date.available2012-10-11T12:59:36Z-
dc.date.issued2012en_US
dc.identifier.isbn978-3-86558-840-1en_US
dc.identifier.urihttp://hdl.handle.net/10419/64813-
dc.description.abstractThis paper empirically investigates the effect of interbank relationship lending on banks' access to liquidity. Our analysis is based on German interbank payment data which we use to create a panel of unsecured overnight loans between 1079 distinct borrower-lender pairs. The data shows that banks rely on repeated interactions with the same counterparties to trade liquidity. For the price of liquidity, we find that in the run-up to the recent financial crisis of 2007/08 relationship lenders charged already higher interest rates to their borrowers after controlling for other bank specific characteristics and general market conditions. By contrast, during the crisis borrowers paid on average lower rates to their relationship lenders compared to spot lenders. The observed interest rate differences are statistically and economically significant and in line with theory that relationship lenders have private information about the creditworthiness of their close borrowers.en_US
dc.language.isoengen_US
dc.publisherDt. Bundesbank Frankfurt, M.en_US
dc.relation.ispartofseriesDiscussion Paper, Deutsche Bundesbank 22/2012en_US
dc.subject.jelD61en_US
dc.subject.jelE44en_US
dc.subject.jelG10en_US
dc.subject.jelG21en_US
dc.subject.ddc330en_US
dc.subject.keywordInterbank Marketen_US
dc.subject.keywordRelationship Lendingen_US
dc.subject.keywordLiquidity Crisisen_US
dc.subject.keywordCentral Counterparten_US
dc.subject.keywordFinancial Contagionen_US
dc.titleRelationship lending in the interbank market and the price of liquidityen_US
dc.typeWorking Paperen_US
dc.identifier.ppn726797995en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:bubdps:222012-
Appears in Collections:Discussion Papers, Deutsche Bundesbank

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