Liquidity Risk Premia in Unsecured Interbank Money Markets

By Jens Tapking, J. Eisenschmidt. Social Science Research Network, 2009

128 citations recorded by the source corpus.

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. JEL Classification: G01, G10, G21

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ccac3199aa9fb99b8542707e717215a7f2451d72

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Citations in the corpus

Counterparty Risk and Funding: A Tale of Two Puzzles (2014, background): “See (Bean 2007; Brunnermeier and Pedersen 2009; Smith 2010; Crépey, Grbac, and Nguyen 2012; Eisenschmidt and Tapking 2009; Filipović and Trolle 2013; Morini 2009).”
The euro area interbank market and the liquidity management of the eurosystem in the financial crisis (2010, background): “See, for example, Ho and Saunders (1985), Hamilton (1996), Clouse and Dow (1999, 2002), Furfine (2000), and Bartolini, Bertola, and Prati (2001, 2002).”
The Interbank Market after the Financial Turmoil: Squeezing Liquidity in a 'Lemons Market' or Asking Liquidity 'on Tap' (2013, unknown): “Eisenschmidt and Tapking (2009) present”
The Term Structure of Interbank Risk (2012, unknown): “These papers include Schwartz (2010), Taylor and Williams (2009), McAndrews, Sarkar, and Wang (2008), Michaud and Upper (2008), and Eisenschmidt and Tapking (2009).”