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• W1780762904 abstract "Using data on the behavior of large settlement banks in the UK and theSterling Money Markets before and during the sub-prime crisis of2007-08, we provide evidence of precautionary hoarding of liquidity andits e ect on inter-bank borrowing rates. Our evidence consists of threepieces. First, we document that liquidity holdings of the largesettlement banks in the UK experienced on average a 30% increase in theperiod immediately following 9th August, 2007, the widely accepted dateof money-market freeze during the sub-prime crisis. Second,we show that following this structural break, bank liquidity had aprecautionary nature in that it rose on calendar days predicted to havea large amount of uctuations in payment and settlements activity andmore so for banks that made larger losses during the crisis. Third,using the payment and settlements activity as an instrument, weestablish a causal e ect of bank liquidity on overnight inter-bankrates, in both secured and unsecured markets, an e ect that is virtuallyabsent in the period before the crisis. Importantly, precautionaryhoardings by some settlement banks raised lending rates for allsettlement banks, suggestive of a contagion-style systemic riskoperating through inter-bank rates. Finally, variability in overnightinter-bank rates appears to have a ected rates and volumes in householdas well as corporate lending." @default.
• W1780762904 created "2016-06-24" @default.
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• W1780762904 date "2009-01-01" @default.
• W1780762904 modified "2023-10-02" @default.
• W1780762904 title "Precautionary Hoarding of Liquidity and Inter-Bank Markets: Evidence from the Sub-Prime Crisis" @default.
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• W1780762904 doi "https://doi.org/10.2139/ssrn.1364748" @default.
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