Connected to Whom? International Interbank Borrowing During the Global Crisis

Kalin Tintchev

No 2013/014, IMF Working Papers from International Monetary Fund

Abstract: The unprecedented collapse of international interbank borrowing was a prominent feature of the global financial crisis that started in August 2007. This paper focuses on the drivers of the retrenchment from 32 advanced and emerging banking systems. Using novel risk-weighted indexes the paper examines whether the banking systems’ access to credit was related to their domestic financial soundness and exposure to distressed international counterparties. The empirical findings suggest that both domestic and international risk factors contributed to the decline in international interbank borrowing during the crisis.

Keywords: WP; credit risk index; interbank market; Moody's KMV banking system default probability; liquidity risk; counterparty risk; financial interconnectedness; banking system borrowing; borrower effect; liquidity risk index; Commercial banks; Credit risk; Credit; Emerging and frontier financial markets; Global; Europe (search for similar items in EconPapers)
Pages: 33
Date: 2013-01-14
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Citations: View citations in EconPapers (4)

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