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- W3040638135 abstract "We study the motivations of traders in the interbank market around the 2007-09 subprime crisis. We develop a new methodology that reveals the underlying urgency to borrow overnight funds, which we call Trading Urgency. We find that the dispersion of beliefs (market Sidedness) and Trading Urgency reveal information from the interbank market—these statistics both lead sovereign CDS spreads and react to non-standard central bank interventions introduced during the crisis. Our results map the linkages between the interbank market and sovereigns as well as shed light on the channels that give rise to the sovereign-bank nexus." @default.
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- W3040638135 date "2020-01-01" @default.
- W3040638135 modified "2023-09-23" @default.
- W3040638135 title "The Urgency to Borrow in the Interbank Market" @default.
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- W3040638135 doi "https://doi.org/10.2139/ssrn.3578858" @default.
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