FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W3036854535> ?p ?o ?g. }

• W3036854535 abstract "My doctoral thesis consists of three empirical papers on the unsecured euro money market and its functioning during the 2007-2008 financial crisis.The first paper, titled “The functioning of the European interbank market during the 2007-2008 financial crisis”1 provides a detailed analysis of the functioning of the overnight (O/N) unsecured euro money market during the 2007-2008 financial crisis by looking at the time patterns of interest rates, market turnover and banks’ borrowing costs. The aim is to disentangle the impact of market events – since the outbreak of tensions in the summer of 2007 until the end of November 2008 – from seasonal patterns of market activity, movements determined by the Eurosystem’s operational framework, the impact of the ECB’s exceptional crisis-related interventions. The results show the important role, alongside market events, of the additional refinancing provided by the ECB and of credit institutions’ increased tendency to hoard surplus reserves rather than trading them in the secondary market. Higher counterparty credit risk and seasonal factors are important determinants of O/N rates and volumes; the exceptional provision of liquidity by the Eurosystem and the relevant changes to the operational framework have influenced banks’ incentives to trade liquidity in the market. The analysis of banks’ costs for uncollateralised loans provides evidence of the major role of bank reputation to obtain better funding and, during the crisis, of a retreat towards national counterparties and of a too-big-to-fail guarantee implicitly granted to the banks with the highest volumes of business.The second paper, titled “The microstructure of the money market before and after the financial crisis: a network perspective”2, provides a detailed microstructure analysis of the euro money market by taking a network perspective. Banks are the nodes of the networks; overnight unsecured loans form the links connecting the nodes. The static analysis of network indicators confirms a number of stylised facts verified for other real complex systems: interbank networks are highly sparse, far from being complete, exhibit the small world property and a power-law distribution of degree (the number of counterparties each bank establishes links with). On the other hand the tendency of banks to cluster, i.e. to form groups where links are relatively denser, is much lower than in other real systems. The analysis of the topology before versus after the start of the crisis provides interesting insights into the potential for financial contagion; the partition of the network into several smaller sub-networks documents a move against market integration; heterogeneous patterns of indicators across banks of different size offer insights into banks’ behaviour. Finally, the analysis of network centrality indicates unambiguously that the biggest banks are also the most central/influent in the system before the onset of the crisis. Things change after August 2007 since medium-sized and very small banks progressively increase their influence in the market as liquidity providers.1 CEIS Working Paper No. 158 (December 2009). Submitted to the International Journal of Central Banking.2 CEIS Working Paper No. 181 (January 2011).The last paper, titled “Too-connected versus too-big-to-fail: banks’ network centrality and overnight interest rates”3 aims at studying what influences banks’ borrowing costs in the unsecured euro money market. The objective is to test whether measures of centrality, quantifying network effects due to interactions among banks in the market, can help explain heterogeneous patterns in the interest rates paid to borrow unsecured funds once bank size and other bank and market factors that affect the overnight segment are controlled for. Preliminary evidence shows that large banks borrow on average at better rates compared to smaller institutions, both before and after the start of the financial crisis. Nonetheless, controlling for size, centrality measures can capture part of the cross-sectional variation in overnight rates. More specifically: (1) Before the start of the crisis all the banks, independently of their size, profit from different forms of interconnectedness, but the economic size of the effect is small. Bank reputation and perceived credit riskiness are the most relevant factors to reduce average daily interest rates. Foreign banks borrow at a discount over Italian ones. (2) After August 2007 the impact of banks’ interconnectedness becomes larger but changes sign: the “reward” stemming from a higher centrality becomes a “punishment”, which possibly reflects market discipline. Bank reputation becomes even more important. (3) After Lehman’s bankruptcy the effect of centrality on the spread maintains the same sign as after August 2007, but the magnitude increases remarkably. Foreign banks borrow at a relevant premium over Italian ones; reputation becomes outstandingly more important than in normal times." @default.
• W3036854535 created "2020-06-25" @default.
• W3036854535 creator A5029359426 @default.
• W3036854535 date "2010-01-01" @default.
• W3036854535 modified "2023-09-27" @default.
• W3036854535 title "Three essays on the unsecured euro money market and its functioning during the 2007-2008 financial crisis" @default.
• W3036854535 hasPublicationYear "2010" @default.
• W3036854535 type Work @default.
• W3036854535 sameAs 3036854535 @default.
• W3036854535 citedByCount "0" @default.
• W3036854535 crossrefType "journal-article" @default.
• W3036854535 hasAuthorship W3036854535A5029359426 @default.
• W3036854535 hasConcept C10138342 @default.
• W3036854535 hasConcept C139719470 @default.
• W3036854535 hasConcept C144133560 @default.
• W3036854535 hasConcept C162324750 @default.
• W3036854535 hasConcept C174106034 @default.
• W3036854535 hasConcept C175025494 @default.
• W3036854535 hasConcept C178350159 @default.
• W3036854535 hasConcept C180879305 @default.
• W3036854535 hasConcept C183582576 @default.
• W3036854535 hasConcept C19244329 @default.
• W3036854535 hasConcept C23952128 @default.
• W3036854535 hasConcept C2778300220 @default.
• W3036854535 hasConcept C2779312582 @default.
• W3036854535 hasConcept C2779775300 @default.
• W3036854535 hasConcept C2781251770 @default.
• W3036854535 hasConcept C30589699 @default.
• W3036854535 hasConcept C556758197 @default.
• W3036854535 hasConcept C73283319 @default.
• W3036854535 hasConceptScore W3036854535C10138342 @default.
• W3036854535 hasConceptScore W3036854535C139719470 @default.
• W3036854535 hasConceptScore W3036854535C144133560 @default.
• W3036854535 hasConceptScore W3036854535C162324750 @default.
• W3036854535 hasConceptScore W3036854535C174106034 @default.
• W3036854535 hasConceptScore W3036854535C175025494 @default.
• W3036854535 hasConceptScore W3036854535C178350159 @default.
• W3036854535 hasConceptScore W3036854535C180879305 @default.
• W3036854535 hasConceptScore W3036854535C183582576 @default.
• W3036854535 hasConceptScore W3036854535C19244329 @default.
• W3036854535 hasConceptScore W3036854535C23952128 @default.
• W3036854535 hasConceptScore W3036854535C2778300220 @default.
• W3036854535 hasConceptScore W3036854535C2779312582 @default.
• W3036854535 hasConceptScore W3036854535C2779775300 @default.
• W3036854535 hasConceptScore W3036854535C2781251770 @default.
• W3036854535 hasConceptScore W3036854535C30589699 @default.
• W3036854535 hasConceptScore W3036854535C556758197 @default.
• W3036854535 hasConceptScore W3036854535C73283319 @default.
• W3036854535 hasLocation W30368545351 @default.
• W3036854535 hasOpenAccess W3036854535 @default.
• W3036854535 hasPrimaryLocation W30368545351 @default.
• W3036854535 hasRelatedWork W1159907140 @default.
• W3036854535 hasRelatedWork W1565596406 @default.
• W3036854535 hasRelatedWork W1917773812 @default.
• W3036854535 hasRelatedWork W2036635055 @default.
• W3036854535 hasRelatedWork W2143648151 @default.
• W3036854535 hasRelatedWork W2171671946 @default.
• W3036854535 hasRelatedWork W2182126259 @default.
• W3036854535 hasRelatedWork W2517428355 @default.
• W3036854535 hasRelatedWork W2547586228 @default.
• W3036854535 hasRelatedWork W2778398436 @default.
• W3036854535 hasRelatedWork W2799410659 @default.
• W3036854535 hasRelatedWork W2984393271 @default.
• W3036854535 hasRelatedWork W3124021019 @default.
• W3036854535 hasRelatedWork W3124876178 @default.
• W3036854535 hasRelatedWork W3125354593 @default.
• W3036854535 hasRelatedWork W3149362260 @default.
• W3036854535 hasRelatedWork W3153122116 @default.
• W3036854535 hasRelatedWork W2187987863 @default.
• W3036854535 hasRelatedWork W2249975294 @default.
• W3036854535 hasRelatedWork W3123786466 @default.
• W3036854535 isParatext "false" @default.
• W3036854535 isRetracted "false" @default.
• W3036854535 magId "3036854535" @default.
• W3036854535 workType "article" @default.