Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/85252 
Year of Publication: 
2013
Series/Report no.: 
Bundesbank Discussion Paper No. 40/2013
Publisher: 
Deutsche Bundesbank, Frankfurt a. M.
Abstract: 
We use a unique data set that comprises each bank's bids in the Eurosystem's main refinancing operations and its recourse to the LOLR facility (a) to derive banks' willingness-to-pay for liquidity through a one-week repo and (b) to show that a bank's willingness-to-pay is a good indicator for the probability that this bank draws on the LOLR facility. Our results suggest (i) that banks' willingness-to-pay for liquidity indeed reflects refinancing conditions in the interbank market and (ii) that the willingness-to-pay can serve as an early warning indicator for banking distress.
Subjects: 
banks
liquidity
LOLR facility
repos
money markets
frictions
JEL: 
D44
E42
E58
G21
ISBN: 
978-3-86558-966-8
Document Type: 
Working Paper

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