The interbank market after August 2007: what has changed, and why?

Paolo Angelini, Andrea Nobili and Cristina Picillo

No 731, Temi di discussione (Economic working papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: The outbreak of the financial crisis coincided with a sharp increase of worldwide interbank interest rates. We analyze the micro and macroeconomic determinants of this phenomenon, finding that before August 2007 interbank rates were insensitive to borrower characteristics, whereas afterwards they became reactive to borrowers� creditworthiness. At the same time, conditions for large borrowers became relatively more favorable, both before and after the failure of Lehman Brothers. This suggests that banks have become more discerning in their lending, a welcome change, but that moral hazard considerations related to the �too big to fail� argument should remain a main concern for central banks.

Keywords: Interbank markets; Spreads; Financial crisis (search for similar items in EconPapers)
JEL-codes: E43 E52 (search for similar items in EconPapers)
Date: 2009-10
New Economics Papers: this item is included in nep-ban, nep-cba, nep-fmk, nep-ifn, nep-mac and nep-mon
References: View complete reference list from CitEc
Citations: View citations in EconPapers (40)

Downloads: (external link)
http://www.bancaditalia.it/pubblicazioni/temi-disc ... 0731/en_tema_731.pdf (application/pdf)

Related works:
Journal Article: The Interbank Market after August 2007: What Has Changed, and Why? (2011)
Journal Article: The Interbank Market after August 2007: What Has Changed, and Why? (2011)
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_731_09

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 ().