TY - JOUR
T1 - Structure in the Italian overnight loan market
AU - Raddant, M.
PY - 2014
Y1 - 2014
N2 - We analyze the Italian interbank loan market from 1999 until 2010. The analysis of net trade flows shows a high imbalance caused by a few large net borrowers in the market. The trading volume shows a significant drop starting in 2007, which accelerates with the Lehman default in late 2008. The interbank loan network is very dense. Hence, we try to identify strong links by looking for preferential lending relationships expressed by discounts in the loan rate. Furthermore, we estimate the dynamics of credit spreads for each bank and find that economically significant spreads for the overnight market developed only in 2010. The analysis of preferential loan relationships reveals that in the pre-Lehman era large net borrowers used to borrow at a slight discount. In the post-Lehman era borrowers with large net exposures paid more than the average market rate, which shows that the risk evaluation of market participants has changed considerably.
AB - We analyze the Italian interbank loan market from 1999 until 2010. The analysis of net trade flows shows a high imbalance caused by a few large net borrowers in the market. The trading volume shows a significant drop starting in 2007, which accelerates with the Lehman default in late 2008. The interbank loan network is very dense. Hence, we try to identify strong links by looking for preferential lending relationships expressed by discounts in the loan rate. Furthermore, we estimate the dynamics of credit spreads for each bank and find that economically significant spreads for the overnight market developed only in 2010. The analysis of preferential loan relationships reveals that in the pre-Lehman era large net borrowers used to borrow at a slight discount. In the post-Lehman era borrowers with large net exposures paid more than the average market rate, which shows that the risk evaluation of market participants has changed considerably.
UR - http://www.scopus.com/inward/record.url?eid=2-s2.0-84891806768&partnerID=MN8TOARS
U2 - 10.1016/j.jimonfin.2013.11.005
DO - 10.1016/j.jimonfin.2013.11.005
M3 - Article
SN - 0261-5606
VL - 41
SP - 197
EP - 213
JO - Journal of International Money and Finance
JF - Journal of International Money and Finance
ER -