EconPapers    
Economics at your fingertips  
 

What do almost 20 years of micro data and two crises say about the relationship between central bank and interbank market liquidity? Evidence from Italy

Massimiliano Affinito

No 1238, Temi di discussione (Economic working papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: This paper studies the mutual interplay between central bank (CB) liquidity provisions and interbank markets (IM) liquidity exchanges exploring whether the relationship changes during IM impairments and CB massive liquidity injections in the global and sovereign crises. The analysis leverages on a dataset containing seventeen years of monthly bank-by-bank and counterparty-by-counterparty data from 1998 to 2015 in Italy. The results show the existence of a complementarity relationship. Banks receiving CB liquidity redistribute more to other banks. When CB liquidity increases exponentially in the crises some healthy banks specialize in interbank lending. The complementarity relationship helps to offset the euro-area fragmentation via domestic interbank relationships and to adjust collateral and maturity profiles of banks’ liquidity.

Keywords: liquidity; financial and sovereign crises; central bank intervention; interbank (search for similar items in EconPapers)
JEL-codes: G21 E52 C30 (search for similar items in EconPapers)
Date: 2019-10
New Economics Papers: this item is included in nep-ban, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://www.bancaditalia.it/pubblicazioni/temi-dis ... 238/en_tema_1238.pdf (application/pdf)

Related works:
Working Paper: What do almost 20 years of micro data and two crises say about the relationship between central bank and interbank market liquidity? Evidence from Italy (2019) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bdi:wptemi:td_1238_19

Access Statistics for this paper

More papers in Temi di discussione (Economic working papers) from Bank of Italy, Economic Research and International Relations Area Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2020-02-18
Handle: RePEc:bdi:wptemi:td_1238_19