International financial integration, crises and monetary policy: evidence from the Euro area interbank crises

Arbeitspapier

We analyze how the Lehman and sovereign crises affect international financial integration, exploiting euro-area proprietary interbank data, crisis and monetary shocks, and loan terms to the same borrower during the same day by domestic versus foreign lenders. Crisis shocks reduce the supply of cross-border liquidity, with stronger volume than pricing effects, thereby impairing international financial integration. On the extensive margin, the cross-border credit crunch is independent of quality, while—on the intensive margin—riskier borrower banks suffer more. Moreover, the cross-border liquidity crunch is substantially stronger for term loans, and weaker for foreign lender banks that have a subsidiary in the same country than the borrower. Nonstandard monetary policy improves interbank liquidity, but without fostering strong crossborder financial re-integration.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Economic Working Paper Series ; No. 1566

Classification and Topics

• Classification: Wirtschaft ; Central Banks and Their Policies ; International Finance: General ; Financial Crises ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages ; Financial Institutions and Services: Government Policy and Regulation
• Subject: financial integration ; financial crises ; cross-border lending ; monetary policy ; international liquidity

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Abbassi, Puriya ; Bräuning, Falk ; Fecht, Falko ; Peydró, José-Luis
• Event: Veröffentlichung
• (who): Universitat Pompeu Fabra (upf), Department of Economics and Business
• (where): Barcelona
• (when): 2018

Further information

• Handle: http://hdl.handle.net/10419/216786
• Last update: 10.03.2025, 11:45 AM CET