Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/146749
Authors: 
Kick, Thomas
Koetter, Michael
Storz, Manuela
Year of Publication: 
2016
Series/Report no.: 
Discussion Paper, Deutsche Bundesbank 34/2016
Abstract: 
We show that emergency liquidity provision by the Federal Reserve transmitted to non-U.S. banking markets. Based on manually collected holding company structures of international banks, we can identify banks in Germany with access to U.S. facilities via internal capital markets. Using proprietary interest rate data reported to the German central bank, we compare lending and borrowing rates of banks with and without such access. U.S. liquidity shocks cause a significant decrease in the short-term funding costs of German banks with access. Short-term loan rates charged to German corporates also decline, albeit with lags between two and four months. These spillover effects of U.S. monetary policy are confined to short-term rates.
Subjects: 
monetary policy transmission
emergency liquidity
internal capital markets
interest rates
JEL: 
E52
E58
F23
F38
G01
G21
ISBN: 
978-3-95729-294-0
Document Type: 
Working Paper

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