Fundamentals matter: Idiosyncratic shocks and interbank relations

Arbeitspapier

Our results uncover a so far undocumented ability of the interbank market to distinguish between banks of different quality in times of aggregate distress. We show empirical evidence that during the 2007 financial crisis the inability of some banks to roll over their interbank debt was not due to a failure of the interbank market per se but rather to bankspecific shocks affecting banks' capital, liquidity and credit quality as well as revised banklevel risk perceptions. Relationship banking is not capable of containing these frictions, as hard information seems to dominate soft information. In detail, we explore determinants of the formation and resilience of interbank lending relationships by analyzing an extensive dataset comprising over 1.9 million interbank relationships of more than 3,500 German banks between 2000 and 2012.

Angaben zum Objekt

• ISBN: 978-3-95729-216-2
• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Bundesbank Discussion Paper ; No. 44/2015

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Monetary Policy, Central Banking, and the Supply of Money and Credit: General ; Financial Crises ; General Financial Markets: General (includes Measurement and Data) ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages
• Thema: financial stability ; interbank market ; aggregate and idiosyncratic shocks ; relationship banking ; risk perception ; market discipline

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Bednarek, Peter ; Dinger, Valeriya ; von Westernhagen, Natalja
• Ereignis: Veröffentlichung
• (wer): Deutsche Bundesbank
• (wo): Frankfurt a. M.
• (wann): 2015

Weitere Informationen

• Handle: http://hdl.handle.net/10419/126078
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ