Relationship lending in the interbank market and the price of liquidity

Arbeitspapier

This paper empirically investigates the effect of interbank relationship lending on banks' access to liquidity. Our analysis is based on German interbank payment data which we use to create a panel of unsecured overnight loans between 1079 distinct borrower-lender pairs. The data shows that banks rely on repeated interactions with the same counterparties to trade liquidity. For the price of liquidity, we find that in the run-up to the recent financial crisis of 2007/08 relationship lenders charged already higher interest rates to their borrowers after controlling for other bank specific characteristics and general market conditions. By contrast, during the crisis borrowers paid on average lower rates to their relationship lenders compared to spot lenders. The observed interest rate differences are statistically and economically significant and in line with theory that relationship lenders have private information about the creditworthiness of their close borrowers.

Angaben zum Objekt

• ISBN: 978-3-86558-840-1
• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Bundesbank Discussion Paper ; No. 22/2012

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Allocative Efficiency; Cost-Benefit Analysis ; Financial Markets and the Macroeconomy ; General Financial Markets: General (includes Measurement and Data) ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages
• Thema: Interbank Market ; Relationship Lending ; Liquidity Crisis ; Central Counterpart ; Financial Contagion

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Bräuning, Falk ; Fecht, Falko
• Ereignis: Veröffentlichung
• (wer): Deutsche Bundesbank
• (wo): Frankfurt a. M.
• (wann): 2012

Weitere Informationen

• Handle: http://hdl.handle.net/10419/64813
• Letzte Aktualisierung: 10.03.2025, 11:41 MEZ