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The EONIA spread before and during the crisis of 2007–2009: The role of liquidity and credit risk

Citations

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Cited by:

  1. Claudio Fontana & Zorana Grbac & Sandrine Gümbel & Thorsten Schmidt, 2020. "Term structure modelling for multiple curves with stochastic discontinuities," Finance and Stochastics, Springer, vol. 24(2), pages 465-511, April.
  2. Beaupain, Renaud & Durré, Alain, 2016. "Excess liquidity and the money market in the euro area," Journal of Macroeconomics, Elsevier, vol. 47(PA), pages 33-44.
  3. Giri, Federico, 2018. "Does interbank market matter for business cycle fluctuation? An estimated DSGE model with financial frictions for the Euro area," Economic Modelling, Elsevier, vol. 75(C), pages 10-22.
  4. Acharya, Viral V. & Imbierowicz, Björn & Steffen, Sascha & Teichmann, Daniel, 2020. "Does the lack of financial stability impair the transmission of monetary policy?," Journal of Financial Economics, Elsevier, vol. 138(2), pages 342-365.
  5. Alfonso Novales & Alvaro Chamizo, 2019. "Splitting Credit Risk into Systemic, Sectorial and Idiosyncratic Components," JRFM, MDPI, vol. 12(3), pages 1-33, August.
  6. Nyborg, Kjell G., 2017. "Reprint of: Central bank collateral frameworks," Journal of Banking & Finance, Elsevier, vol. 83(C), pages 232-248.
  7. von Borstel, Julia & Eickmeier, Sandra & Krippner, Leo, 2016. "The interest rate pass-through in the euro area during the sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 68(C), pages 386-402.
  8. Olivier Brossard & Susanna Saroyan, 2016. "Hoarding and short-squeezing in times of crisis: Evidence from the Euro overnight money market," Post-Print hal-01293693, HAL.
  9. Schmidt, Jörg, 2020. "Risk, asset pricing and monetary policy transmission in Europe: Evidence from a threshold-VAR approach," Journal of International Money and Finance, Elsevier, vol. 109(C).
  10. Janak Raj & Joice John, 0. "Steering interest rates amidst large structural surplus liquidity: a tale of three central banks," Indian Economic Review, Springer, vol. 0, pages 1-24.
  11. Chamizo, Álvaro & Novales, Alfonso, 2020. "Looking through systemic credit risk: Determinants, stress testing and market value," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 64(C).
  12. Beaupain, Renaud & Durré, Alain, 2013. "Central bank reserves and interbank market liquidity in the euro area," Journal of Financial Intermediation, Elsevier, vol. 22(2), pages 259-284.
  13. Flavius ROVINARU & Mihaela ROVINARU, 2014. "Investments And Development: Milestones Of Romania’S Evolution," Romanian Journal of Economics, Institute of National Economy, vol. 38(1(47)), pages 197-207, June.
  14. Nyborg, Kjell G., 2017. "Central bank collateral frameworks," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 198-214.
  15. Renne Jean-Paul, 2017. "A model of the euro-area yield curve with discrete policy rates," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(1), pages 99-116, February.
  16. Beaupain, Renaud & Durré, Alain, 2013. "Central bank reserves and interbank market liquidity in the euro area," Journal of Financial Intermediation, Elsevier, vol. 22(2), pages 259-284.
  17. Hande Küçük & Pinar Özlü & İsmaİl Anil Talaslı & Deren Ünalmış & Canan Yüksel, 2016. "Interest Rate Corridor, Liquidity Management, And The Overnight Spread," Contemporary Economic Policy, Western Economic Association International, vol. 34(4), pages 746-761, October.
  18. Piotr Fiszeder & Ilona Pietryka, 2018. "Monetary policy in steering the EONIA and POLONIA rates in the Eurosystem and Poland: a comparative analysis," Empirical Economics, Springer, vol. 55(2), pages 445-470, September.
  19. Kuga Iakov & Elena Kuzmina, 2016. "Covered interest parity: evidence from Russian money market," EERC Working Paper Series 16/01e, EERC Research Network, Russia and CIS.
  20. Janak Raj & Joice John, 2020. "Steering interest rates amidst large structural surplus liquidity: a tale of three central banks," Indian Economic Review, Springer, vol. 55(1), pages 93-116, June.
  21. Juan Ángel Lafuente & Nuria Petit & Jesús Ruiz & Pedro Serrano, 2020. "Dissecting interbank risk using basis swap spreads," The World Economy, Wiley Blackwell, vol. 43(3), pages 729-757, March.
  22. Codruta Maria FAT & Simona MUTU, 2014. "Analyzing The Relationship Between Eonia And Eoniaswap Rates. A Cointegration Approach," Romanian Journal of Economics, Institute of National Economy, vol. 38(1(47)), pages 197-207, June.
  23. Mr. Romain M Veyrune & Shaoyu Guo, 2019. "Autonomous Factor Forecast Quality: The Case of the Eurosystem," IMF Working Papers 2019/296, International Monetary Fund.
  24. Arnold, Marc & Schuette, Dustin & Wagner, Alexander, 2014. "Neglected Risk: Evidence from Structured Product Counterparty Exposure," Working Papers on Finance 1406, University of St. Gallen, School of Finance, revised Apr 2016.
  25. Brossard, Olivier & Saroyan, Susanna, 2016. "Hoarding and short-squeezing in times of crisis: Evidence from the Euro overnight money market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 163-185.
  26. Codruta Maria FAT & Simona MUTU, 2014. "Analyzing The Relationship Between Eonia And Eoniaswap Rates. A Cointegration Approach," Romanian Journal of Economics, Institute of National Economy, vol. 38(1(47)), pages 197-207, June.
  27. Nikolaos Karouzakis, 2021. "The role of time‐varying risk premia in international interbank markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5720-5745, October.
  28. Mr. Romain M Veyrune & Guido della Valle & Shaoyu Guo, 2018. "Relationship Between Short-Term Interest Rates and Excess Reserves: A Logistic Approach," IMF Working Papers 2018/080, International Monetary Fund.
  29. Joerg Schmidt, 2019. "Risk, Asset Pricing and Monetary Policy Transmission in Europe: Evidence from a Threshold-VAR approach," MAGKS Papers on Economics 201928, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  30. Anamaria Illes & Marco Jacopo Lombardi, 2013. "Interest rate pass-through since the financial crisis," BIS Quarterly Review, Bank for International Settlements, September.
  31. Hande Kucuk & Pinar Ozlu & Anil Talasli & Deren Unalmis & Canan Yuksel, 2013. "Likidite Yonetimi ve BIST Faiz Farki," CBT Research Notes in Economics 1325, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
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