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
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978-3-95729-244-5
- Language
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Englisch
- Bibliographic citation
-
Series: Bundesbank Discussion Paper ; No. 09/2016
- Classification
-
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
- Subject
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Credit Risk
Networks
CDS
Interbank Lending
Portfolio Distance
- Event
-
Geistige Schöpfung
- (who)
-
Abbassi, Puriya
Brownlees, Christian
Hans, Christina
Podlich, Natalia
- Event
-
Veröffentlichung
- (who)
-
Deutsche Bundesbank
- (where)
-
Frankfurt a. M.
- (when)
-
2016
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Abbassi, Puriya
- Brownlees, Christian
- Hans, Christina
- Podlich, Natalia
- Deutsche Bundesbank
Time of origin
- 2016
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