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- W1987989446 abstract "We analyze the Italian interbank loan market from 1999 until 2010. The analysis of net trade flows shows a high imbalance caused by a few large net borrowers in the market. The trading volume shows a significant drop starting in 2007, which accelerates with the Lehman default in late 2008. The interbank loan network is very dense. Hence, we try to identify strong links by looking for preferential lending relationships expressed by discounts in the loan rate. Furthermore, we estimate the dynamics of credit spreads for each bank and find that economically significant spreads for the overnight market developed only in 2010. The analysis of preferential loan relationships reveals that in the pre-Lehman era large net borrowers used to borrow at a slight discount. In the post-Lehman era borrowers with large net exposures paid more than the average market rate, which shows that the risk evaluation of market participants has changed considerably." @default.
- W1987989446 created "2016-06-24" @default.
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- W1987989446 date "2014-03-01" @default.
- W1987989446 modified "2023-09-26" @default.
- W1987989446 title "Structure in the Italian overnight loan market" @default.
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- W1987989446 doi "https://doi.org/10.1016/j.jimonfin.2013.11.005" @default.
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