Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/126078
Authors: 
Bednarek, Peter
Dinger, Valeriya
von Westernhagen, Natalja
Year of Publication: 
2015
Series/Report no.: 
Discussion Paper, Deutsche Bundesbank 44/2015
Abstract: 
Our results uncover a so far undocumented ability of the interbank market to distinguish between banks of different quality in times of aggregate distress. We show empirical evidence that during the 2007 financial crisis the inability of some banks to roll over their interbank debt was not due to a failure of the interbank market per se but rather to bankspecific shocks affecting banks' capital, liquidity and credit quality as well as revised banklevel risk perceptions. Relationship banking is not capable of containing these frictions, as hard information seems to dominate soft information. In detail, we explore determinants of the formation and resilience of interbank lending relationships by analyzing an extensive dataset comprising over 1.9 million interbank relationships of more than 3,500 German banks between 2000 and 2012.
Subjects: 
financial stability
interbank market
aggregate and idiosyncratic shocks
relationship banking
risk perception
market discipline
JEL: 
E50
G01
G10
G21
ISBN: 
978-3-95729-216-2
Document Type: 
Working Paper

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