期刊名称:Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN:1830-3420
电子版ISSN:1830-3439
出版年度:2016
出版社:European Central Bank
摘要:I estimate network dependence e¤ects in the euro area unsecured overnight interbank mar-ket during the nancial crisis. I use linear spatial regressions to estimate the dependence ofindividual bankstrading volumes (and interest rates) on the trading volumes (and interestrates) of their network neighbours. Neighbours are de ned from past trading relations. I ndthat banksnet lending volumes and lending-borrowing interest rate spread depend negativelyon their neighbours respective outcomes. By contrast, there arise positive e¤ects for totaltrading volume and borrowing rates. Overall, however, these e¤ects are small and signi cantonly in periods of market turmoil or of major policy interventions. The results suggest thatneighbours act as a bu¤er in absorbing idiosyncratic liquidity shocks.
关键词:Euro area money markets; nancial crisis; network analysis; spatial regressions