Arbeitspapier
Liquidity risk premia in unsecured interbank money markets
Unsecured interbank money market rates such as the Euribor increased strongly with the start of the financial market turbulences in August 2007. There is clear evidence that these rates reached levels that cannot be explained alone by higher credit risk. This article presents this evidence and provides a theoretical explanation which refers to the funding liquidity risk of lenders in unsecured term money markets.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 1025
- Klassifikation
-
Wirtschaft
Financial Crises
General Financial Markets: General (includes Measurement and Data)
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
- Thema
-
interbank money markets
Liquidity premium
unsecured lending
Geldmarkt
Bankenliquidität
Risikoprämie
Kreditderivat
Finanzkrise
Eurozone
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Eisenschmidt, Jens
Tapking, Jens
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:25 MESZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Eisenschmidt, Jens
- Tapking, Jens
- European Central Bank (ECB)
Entstanden
- 2009