Sidedness in the interbank market

Celso Brunetti, Jeffrey Harris and Shawn Mankad

Journal of Financial Markets, 2022, vol. 59, issue PA

Abstract: We study the motivations of traders in the interbank market around the 2007–2009 subprime crisis. We extend the market sidedness of Sarkar and Schwartz (2009) to a panel setting to study the dispersion of beliefs for banks domiciled in different European countries. We find that country-level sidedness reveals information from the interbank market: sidedness leads sovereign credit default swap (CDS) spreads and reacts to central bank interventions introduced during the crisis. Our results map the linkages between the interbank market and sovereigns, as well as provide insight on the channels that give rise to the sovereign-bank nexus.

Keywords: Sidedness; Liquidity; Credit default swaps (search for similar items in EconPapers)
JEL-codes: C10 G10 G21 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:59:y:2022:i:pa:s1386418121000446

DOI: 10.1016/j.finmar.2021.100663

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