Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/171791
Authors: 
Abbassi, Puriya
Bräuning, Falk
Fecht, Falko
Peydró, José-Luis
Year of Publication: 
2017
Series/Report no.: 
Working Papers 17-6
Abstract: 
We analyze how financial crises affect international financial integration, exploiting euro area proprietary interbank data, crisis and monetary policy shocks, and variation in loan terms to the same borrower on the same day by domestic versus foreign lenders. Crisis shocks reduce the supply of crossborder liquidity, with stronger volume effects than pricing effects, thereby impairing international financial integration. On the extensive margin, there is flight to home - but this is independent of quality. On the intensive margin, however, GIPS-headquartered debtor banks suffer in the Lehman crisis, but effects are stronger in the sovereign-debt crisis, especially for riskier banks. Nonstandard monetary policy improves interbank liquidity, but without fostering strong cross-border financial reintegration.
Subjects: 
financial integration
financial crises
cross-border lending
monetary policy
euro area sovereign crisis
liquidity
JEL: 
E58
F30
G01
G21
G28
Document Type: 
Working Paper
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