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International financial integration, crises, and monetary policy: evidence from the euro area interbank crises

Puriya Abbassi, Falk Bräuning, Falko Fecht () and Jose-Luis Peydro ()

No 17-6, Working Papers from Federal Reserve Bank of Boston

Abstract: We analyze how financial crises affect international financial integration, exploiting euro area proprietary interbank data, crisis and monetary policy shocks, and variation in loan terms to the same borrower on the same day by domestic versus foreign lenders. Crisis shocks reduce the supply of crossborder liquidity, with stronger volume effects than pricing effects, thereby impairing international financial integration. On the extensive margin, there is flight to home ? but this is independent of quality. On the intensive margin, however, GIPS-headquartered debtor banks suffer in the Lehman crisis, but effects are stronger in the sovereign-debt crisis, especially for riskier banks. Nonstandard monetary policy improves interbank liquidity, but without fostering strong cross-border financial reintegration.

Keywords: euro area sovereign crisis; monetary policy; liquidity; financial crises; financial integration; cross-border lending (search for similar items in EconPapers)
JEL-codes: G21 G28 E58 G01 F30 (search for similar items in EconPapers)
Pages: 48 pages
Date: 2017-07-01, Revised 2017-07-01
New Economics Papers: this item is included in nep-ban, nep-cba, nep-eec, nep-ifn, nep-mac, nep-mon and nep-opm
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Working Paper: International financial integration, crises and monetary policy: evidence from the Euro area interbank crises (2018) Downloads
Working Paper: International financial integration, crises and monetary policy: evidence from the Euro area interbank crises (2018) Downloads
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