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- W2890714760 abstract "In this paper we study European banks’ demand for short-term funds during the 2007 subprime market crisis. We use bidding data from the European Central Bank’s auctions for one-week loans. Through a model of bidding, we show that bank behavior reflects the cost of obtaining short-term funds elsewhere as well as a strategic response to other bidders. We find considerable heterogeneity across banks in their willingness to pay for short-term funds supplied in these auctions. Accounting for the strategic component is important: while a naive interpretation of the raw bidding data may suggest that virtually all banks suffered a dramatic increase in the cost of obtaining funds in the interbank market, we find that for about one third of the banks, the change in bidding behavior was simply a strategic response. Using a complementary dataset, we also find that bank pre-turmoil liquidity costs, as estimated by our model, are predictive of their post-turmoil liquidity costs, and that there is considerable heterogeneity in these costs with respect to the country-of-origin. Finally, among the publicly traded banks, the willingness to pay for short-term funds in the second half of 2007 are predictive of stock prices in late 2008." @default.
- W2890714760 created "2018-09-27" @default.
- W2890714760 date "2013-01-01" @default.
- W2890714760 modified "2023-09-26" @default.
- W2890714760 title "The 2007 Subprime Market Crisis Through the Lens of European Central Bank Auctions for Short-Term Funds" @default.
- W2890714760 doi "https://doi.org/10.3982/ecta9973" @default.
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