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- W2336114196 abstract "Banks exchange liquidity in the money market to absorb payment shocks. In a well-functioning market, banks in need of liquidity should not pay a premium when borrowing. We combine data on bank reserves at the central bank and interest rates paid in the money market to study how bank liquidity affects interbank rates. Banks with scarce liquidity pay only marginally higher rates than do those with ample liquidity. However, during times of financial stress, on days with large payment activity, and when the need for liquidity is more pronounced, those short of liquidity pay a higher cost. To address the potential issue of unobserved, time-varying credit risk, we also provide estimates based on a differencing strategy and on the use of an instrument for a bank's liquidity position. The latter approach suggests a higher cost of lacking liquidity, though the cost remains economically small. We also find that bank capital ratios affect the decision to borrow or lend, but not the interest rate on loans. Specifically, banks with ample capital are more likely to borrow and less likely to lend, likely reflecting precautionary behavior on the part of riskier banks." @default.
- W2336114196 created "2016-06-24" @default.
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- W2336114196 date "2015-01-01" @default.
- W2336114196 modified "2023-09-23" @default.
- W2336114196 title "Bank Liquidity and the Interbank Market" @default.
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- W2336114196 doi "https://doi.org/10.2139/ssrn.2655984" @default.
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