Arbeitspapier
Credit risk interconnectedness: What does the market really know?
We analyze the relation between market-based credit risk interconnectedness among banks during the crisis and the associated balance sheet linkages via funding and securities holdings. For identification, we use a proprietary dataset that has the funding positions of banks at the bank-to-bank level for 2006-13 in conjunction with investments of banks at the security level and the credit register from Germany. We find asymmetries both cross-sectionally and over time: when banks face difficulties to raise funding, the interbank lending affects market-based bank interconnectedness. Moreover, banks with investments in securities related to troubled classes have a higher credit risk interconnectedness. Overall, our results suggest that market-based measures of interdependence can serve well as risk monitoring tools in the absence of disaggregated high-frequency bank fundamental data.
- ISBN
-
978-3-95729-244-5
- Sprache
-
Englisch
- Erschienen in
-
Series: Bundesbank Discussion Paper ; No. 09/2016
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
Forecasting Models; Simulation Methods
Financial Markets and the Macroeconomy
Financial Aspects of Economic Integration
Asset Pricing; Trading Volume; Bond Interest Rates
Information and Market Efficiency; Event Studies; Insider Trading
General Financial Markets: Government Policy and Regulation
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
- Thema
-
Credit Risk
Networks
CDS
Interbank Lending
Portfolio Distance
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Abbassi, Puriya
Brownlees, Christian
Hans, Christina
Podlich, Natalia
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bundesbank
- (wo)
-
Frankfurt a. M.
- (wann)
-
2016
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Abbassi, Puriya
- Brownlees, Christian
- Hans, Christina
- Podlich, Natalia
- Deutsche Bundesbank
Entstanden
- 2016
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