Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/216786
Authors: 
Abbassi, Puriya
Bräuning, Falk
Fecht, Falko
Peydró, José-Luis
Year of Publication: 
2018
Series/Report no.: 
Economic Working Paper Series No. 1566
Abstract: 
We analyze how the Lehman and sovereign crises affect international financial integration, exploiting euro-area proprietary interbank data, crisis and monetary shocks, and loan terms to the same borrower during the same day by domestic versus foreign lenders. Crisis shocks reduce the supply of cross-border liquidity, with stronger volume than pricing effects, thereby impairing international financial integration. On the extensive margin, the cross-border credit crunch is independent of quality, while—on the intensive margin—riskier borrower banks suffer more. Moreover, the cross-border liquidity crunch is substantially stronger for term loans, and weaker for foreign lender banks that have a subsidiary in the same country than the borrower. Nonstandard monetary policy improves interbank liquidity, but without fostering strong crossborder financial re-integration.
Subjects: 
financial integration
financial crises
cross-border lending
monetary policy
international liquidity
JEL: 
E58
F30
G01
G21
G28
Document Type: 
Working Paper

Files in This Item:
File
Size
724.59 kB





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