Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/177728
Authors: 
Di Filippo, Mario
Ranaldo, Angelo
Wrampelmeyer, Jan
Year of Publication: 
2018
Series/Report no.: 
Tinbergen Institute Discussion Paper TI 2018-038/IV
Abstract: 
We empirically investigate why wholesale funding is fragile by providing the first study of how individual banks borrow and lend in the euro unsecured and secured interbank market. Consistent with theories in which lenders enforce market discipline by monitoring counterparty credit risk and theories highlighting that secured loans are less informational sensitive, we find that banks with low credit worthiness replace unsecured borrowing with secured loans. Moreover, riskier lenders provide more secured loans to replace unsecured lending, which is not consistent with speculative or precautionary liquidity hoarding theories. Instead, lenders are precautionary in the sense that they prefer to lend against safe collateral.
Subjects: 
Liquidity hoarding
asymmetric information
counterparty credit risk
wholesale funding fragility
interbank market
liquidity
JEL: 
E42
E43
E58
G01
G21
G28
Document Type: 
Working Paper
Social Media Mentions:

Files in This Item:
File
Size
540.72 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.