| Autor: |
Abbassi, Puriya, Brownlees, Christian, Hans, Christina, Podlich, Natalia |
| Jazyk: |
angličtina |
| Rok vydání: |
2016 |
| Předmět: |
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| Popis: |
We analyze the relation between market-based credit risk interconnectedness among banks during the crisis and the associated balance sheet linkages via funding and securities holdings. For identification, we use a proprietary dataset that has the funding positions of banks at the bank-to-bank level for 2006-13 in conjunction with investments of banks at the security level and the credit register from Germany. We find asymmetries both cross-sectionally and over time: when banks face difficulties to raise funding, the interbank lending affects market-based bank interconnectedness. Moreover, banks with investments in securities related to troubled classes have a higher credit risk interconnectedness. Overall, our results suggest that market-based measures of interdependence can serve well as risk monitoring tools in the absence of disaggregated high-frequency bank fundamental data. |
| Databáze: |
OpenAIRE |
| Externí odkaz: |
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