Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/208345
Authors: 
Altavilla, Carlo
Carboni, Giacomo
Lenza, Michele
Uhlig, Harald
Year of Publication: 
2019
Series/Report no.: 
ECB Working Paper No. 2311
Abstract: 
This paper investigates the effects of interbank rate uncertainty on lending rates to euro area firms. We introduce a novel measure of interbank rate uncertainty, computed as the cross-sectional dispersion in interbank market rates on overnight unsecured loans. Using proprietary bank-level data, we find that interbank rate uncertainty significantly raises lending rates on loans to firms, with a peak effect of around 100 basis points during the 2007-2009 global financial crisis and the 2010-2012 European sovereign crisis. This effect is attenuated for banks with lower credit risk, sounder capital positions and greater access to central bank funding.
Subjects: 
Interbank market
uncertainty
bank lending
JEL: 
E44
D80
G21
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-3880-8
Document Type: 
Working Paper

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