Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/58277
Authors: 
Raddant, Matthias
Year of Publication: 
2012
Series/Report no.: 
Kiel Working Paper 1772
Abstract: 
We analyze the Italian interbank loan market from 1999 until 2010. The analysis of net trade flows shows a high imbalance caused by few large net borrowers in the market. The trading volume shows a significant drop starting in 2007, which accelerates with the Lehman default in late 2008. The network, based on trading relationships, is very dense. Hence, we try to identify strong links by looking for preferential lending relationships expressed by discounts in the loan rate. Furthermore, we estimate the dynamics of credit spreads for each bank and find that economically significant spreads for the overnight market only developed in 2010. The analysis of bilateral loan relationships reveals that in the pre-crisis era large net borrowers used to borrow at a slight discount. In the post-Lehman era borrowers with large net exposures paid more than the average market rate, which shows that the risk evaluation of market participants has changed considerably.
Subjects: 
interbank markets
overnight loans
preferential lending
JEL: 
G15
G21
E44
G01
Document Type: 
Working Paper

Files in This Item:
File
Size
1.78 MB





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