Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/106794
Authors: 
Gabrieli, Silvia
Georg, Co-Pierre
Year of Publication: 
2014
Series/Report no.: 
Discussion Paper, Deutsche Bundesbank 44/2014
Abstract: 
We study the liquidity allocation among European banks around the Lehman insolvency using a novel dataset of all interbank loans settled via the Eurosystem's payment system TARGET2. Following the Lehman insolvency, lenders in the overnight segment become sensitive to counterparty characteristics and banks start hoarding liquidity by shortening the maturity of their interbank lending. This aggregate change in liquidity reallocation is accompanied by a substantial structural change that can best be characterized as a shrinking of the interbank network. Such a change in the network structure is consequential: banks with higher centrality within the network have better access to liquidity and are able to charge larger intermediation spreads. Therefore, we show the existence of a sizeable interbank lending channel.
Subjects: 
interbank loans
network topology
financial stability
JEL: 
D85
E5
G1
G21
ISBN: 
978-3-95729-109-7
Document Type: 
Working Paper

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