How stressed are banks in the interbank market?

Arbeitspapier

We use a unique data set that comprises each bank's bids in the Eurosystem's main refinancing operations and its recourse to the LOLR facility (a) to derive banks' willingness-to-pay for liquidity through a one-week repo and (b) to show that a bank's willingness-to-pay is a good indicator for the probability that this bank draws on the LOLR facility. Our results suggest (i) that banks' willingness-to-pay for liquidity indeed reflects refinancing conditions in the interbank market and (ii) that the willingness-to-pay can serve as an early warning indicator for banking distress.

Object Details

• ISBN: 978-3-86558-966-8
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Bundesbank Discussion Paper ; No. 40/2013

Classification and Topics

• Classification: Wirtschaft ; Auctions ; Monetary Systems; Standards; Regimes; Government and the Monetary System; Payment Systems ; Central Banks and Their Policies ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages
• Subject: banks ; liquidity ; LOLR facility ; repos ; money markets ; frictions

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Abbassi, Puriya ; Fecht, Falko ; Weber, Patrick
• Event: Veröffentlichung
• (who): Deutsche Bundesbank
• (where): Frankfurt a. M.
• (when): 2013

Further information

• Handle: http://hdl.handle.net/10419/85252
• Last update: 10.03.2025, 11:43 AM CET