Market microstructure, bank's behaviour and interbank spreads

G. Gabbi, Guido Germano, V. Hatzopoulos, Giulia Iori and M. Politi

Working Papers from Department of Economics, City University London

Abstract: We present an empirical analysis of the European electronic interbank market of overnight lending (e-MID) during the years 1999–2009. The main goal of the paper is to explain the observed changes of the cross-sectional dispersion of lending/borrowing conditions before, during and after the 2007–2008 subprime crisis. Unlike previous contributions, that focused on banks’ dependent and macro information as explanatory variables, we address the role of banks’ behaviour and market microstructure as determinants of the credit spreads.

Keywords: interbank lending; market microstructure; subprime crisis; credit spreads; liquidity management (search for similar items in EconPapers)
Date: 2012
New Economics Papers: this item is included in nep-ban, nep-eec and nep-fmk
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:cty:dpaper:12/06

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