The urgency to borrow in the interbank market

Celso Brunetti, Jeffrey Harris and Shawn Mankad

Economics Letters, 2022, vol. 221, issue C

Abstract: We study the motivations of interbank market traders around the 2007–09 subprime crisis with a new statistic, Trading Urgency, that reveals the underlying urgency to borrow overnight funds. We find that Trading Urgency leads sovereign CDS spreads and reacts to non-standard central bank interventions introduced during the crisis. Our results shed light on the channels that give rise to the sovereign-bank nexus by mapping the linkages between the interbank market and sovereigns.

Keywords: Trading urgency; Credit default swaps; ECB operations; Liquidity; Sovereign-bank nexus (search for similar items in EconPapers)
JEL-codes: C10 G10 G21 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:221:y:2022:i:c:s0165176522003743

DOI: 10.1016/j.econlet.2022.110900

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