scholarly journals The influence of interbank money market stress levels on credit markets during the postcrisis period in the US and the Euro area

2011 ◽  
Vol 56 (189) ◽  
pp. 7-26
Author(s):  
Djordje Djukic ◽  
Malisa Djukic
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Euro Area ◽  
Global Financial Crisis ◽  
Money Market ◽  
Stress Indicators ◽  
Money Markets ◽  
The Us ◽  
High Yields ◽  
The Global Financial Crisis

Despite the anti-crisis measures in the US and the euro area that were the policy response to the global financial crisis in 2007 and 2008, the stress on the interbank money market was still present in 2009 and 2010. The increasing inflationary pressures will require an increase in the ECB key interest rate in the second half of 2011. The over indebted euro area countries will have to raise funds by issuing and selling bonds with high yields. Taking into account such an environment, in this paper we analyze the relevant interbank money market stress indicators during 2010 and the beginning of 2011, in order to estimate the effects of money markets interest rate movements on credit market interest rates, primarily in the euro area, during the post-crisis period.

scholarly journals The Determinants of CDS Spreads in Multiple Industry Sectors: A Comparison between the US and Europe

Risks ◽  
2018 ◽  
Vol 6 (3) ◽  
pp. 89 ◽  
Author(s):  
Jatin Malhotra ◽  
Angelo Corelli
Keyword(s):  
Interest Rates ◽  
Global Financial Crisis ◽  
Causality Test ◽  
Macroeconomic Variables ◽  
Credit Default ◽  
The Us ◽  
Before And After ◽  
The Global Financial Crisis ◽  
Industry Sectors ◽  
The Relationship

The paper analyzes the relationship between the credit default swaps (CDS) spreads for 5-year CDS in Europe and US, and fundamental macroeconomic variables such as regional stock indices, oil prices, gold prices, and interest rates. The dataset includes consideration of multiple industry sectors in both economies, and it is split in two sections, before and after the global financial crisis. The analysis is carried out using multivariate regression of each index vs. the macroeconomic variables, and a Granger causality test. Both approaches are performed on the change of value of the variables involved. Results show that equity markets lead in price discovery, bidirectional causality between interest rate, and CDS spreads for most sectors involved. There is also bidirectional causality between stock and oil returns to CDS spreads.

scholarly journals Monetary policy and bank lending in euro area since the outset of the global financial crisis

2020 ◽  
pp. 10-10
Author(s):  
Agata Wierzbowska
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Euro Area ◽  
Global Financial Crisis ◽  
Banking System ◽  
Bank Lending ◽  
Liquidity Provision ◽  
The Individual ◽  
The Global Financial Crisis ◽  
The Impact

In this article, we present the impact of the monetary policy stance of the European Central Bank(ECB)since 2007 on bank lending in the euro area and compare the effects of the main measures: interest rate changes, liquidity provision, and asset purchase programmes. We also analyse the channels through which monetary policy might influence the banking system and narrow our focus to the individual countries. The main results indicate stimulating impact of ECB?s policy stance on bank lending that extends its influence mainly through interest rate cuts further supported by the liquidity provision and asset purchase programmes. However, we also find considerable differences across the member states, of ten depending on the state of the banking system and loan demand in the member state. The results support the variety of monetary policy measures introduced by the ECB, as each played its own role in supporting the banking system and encouraging bank lending in the euro area.

The Euro Area In Crisis, 2008–18

2020 ◽  
Author(s):  
Christos Hadjiemmanuil
Keyword(s):  
European Union ◽  
Gross Domestic Product ◽  
Euro Area ◽  
Global Financial Crisis ◽  
The European Union ◽  
The Us ◽  
The World ◽  
The Global Financial Crisis ◽  
Deep Recession ◽  
The Eu

In autumn 2008, just as the euro was approaching its tenth anniversary, the European Union (EU) became embroiled in the Global Financial Crisis (GFC). Elsewhere in the world, including in the US, where it originated, the GFC caused a very deep recession but then receded, and was essentially over by the end of 2009. In the EU, however, it took a double-dip form, with the EU-28 area’s real gross domestic product (GDP) suffering a -4.4 per cent fall in 2009 and another -0.5 per cent fall in 2012. The timing and impact of the crisis differed significantly across Member States, and the recovery was uneven. Taken as a whole, the euro area (EA19) performed worse than the rest of the EU, especially in 2012–13, when it lost -1.3 per cent of GDP, and only returned to its 2007 GDP level in 2015.

The Global Financial Crisis and Retail Interest Rate Pass-Through in Australia

2016 ◽  
Vol 19 (04) ◽  
pp. 1650026 ◽  
Author(s):  
Ming-Hua Liu ◽  
Dimitris Margaritis ◽  
Zhuo Qiao
Keyword(s):  
Interest Rate ◽  
Financial Crisis ◽  
Small Business ◽  
Interest Rates ◽  
Global Financial Crisis ◽  
Small Business Lending ◽  
Lending Rates ◽  
Pass Through ◽  
The Global Financial Crisis ◽  
The Way

In this paper, we examine the impact of the global financial crisis (GFC) on the interest rate pass-through for four types of loans in Australia: mortgages, residentially secured small business lending, nonsecured small business lending and personal loans. Australia is an interesting case study since its central bank lowered but also raised interest rates during the GFC. We find that after the onset of the crisis, there has been a shift in the way banks adjust their lending rates in response to changes in market interest rates; the markup has increased and there has been a drop in both short- and long-term pass-through from funding costs to lending rates. Closer analysis indicates that the drop in short-term pass-through is due to the slower response of banks to increases in funding costs. We also find asymmetries in the way banks adjust lending rates in relation to funding costs in the long-run for nonsecured small business lending and personal loans. The evidence shows that banks in Australia tightened lending standards and competed less aggressively for loans but more for deposits in response to heightened default risks following the global financial crisis. The wider margin allows banks to adjust their lending rates more slowly and asymmetrically.

scholarly journals The global financial crisis and the behavior of short-term interest rates: International and Serbian aspects

2009 ◽  
Vol 56 (4) ◽  
pp. 491-506 ◽  
Author(s):  
Djordje Djukic ◽  
Malisa Djukic
Keyword(s):  
Financial Crisis ◽  
Interest Rates ◽  
Global Financial Crisis ◽  
Banking Industry ◽  
Developed Countries ◽  
Short Term ◽  
Cross Border ◽  
The Us ◽  
National Bank ◽  
The Global Financial Crisis

Throughout the current global financial crisis the market has continued to fall due to a lack of confidence of those banks that are not yet prepared to lend on the interbank money market. For instance, the negative repercussions of the crisis onto the Serbian financial sector have created a number of issues including a significant increase in lending rates, a difficulty, or impossibility, for the corporate sector to use cheap cross-border loans and a reduction in the supply of foreign exchange on that basis. The inability of the National Bank of Serbia to follow the aggressive reduction of the key interest rate that has been implemented by central banks in developed countries, partly explains the lack of a decline in short-term interest rates by the Serbian banking industry. The first section of the paper focuses on the effects of the financial crisis through the behavior of short-term interest rates in the US and Europe, while the second section gives an estimation of the effects of the global financial crisis on interest rates in the banking industry in Serbia.

scholarly journals Analysis of Interest Rate Impact on the Profitability Level of the Banking System in Albania during the Period 2005 -2014

2015 ◽  
Vol 3 (1) ◽  
pp. 203
Author(s):  
Sokol Ndoka ◽  
Anilda Bozdo
Keyword(s):  
Interest Rate ◽  
Financial Crisis ◽  
Interest Rates ◽  
Global Financial Crisis ◽  
Banking System ◽  
The Other ◽  
Factors Affecting ◽  
The Interest Rate ◽  
The Global Financial Crisis ◽  
The Impact

This study is an analysis of the movement and impact of interest rates on the profitability level of the banking system in Albania. This analysis covers a 10-year timeframe (is organized in three time segments - before, during and after the financial crisis), taking into consideration the critical point of the years 2008-2009 considered as the “peak” of the global financial crisis. Such separation is made in order to see the possible changes of each period of time and to identify the impact differences of this factor in each period of study. This study is based on the hypothesis that the decrease of the interest rate has positively affected the income increase from interest as a result of the impact of two factors, negative levels of Gaps and an increased level of spread toward the average assets. As a matter of fact, it has neutralized on a certain level the other risks such as that of the loan which has dominated over the other risks. This paper is based on an empirical study with secondary quantitative and qualitative data. This study provides a considerable contribution in the framework of identification of factors affecting the profitability of the banking system in Albania, namely in the context of interest rate; In addition, this study aims at highlighting the importance of open Gaps minimization for the efficient profitability increase of the financial system.

Short-term Interest Rates and the State of Liquidity in the Russian Money Market under Conditions of the Global Financial Crisis

2009 ◽  
pp. 66-85 ◽  
Author(s):  
E. Vasilieva ◽  
A. Ponomarenko ◽  
A. Porshakov
Keyword(s):  
Interest Rates ◽  
Global Financial Crisis ◽  
Money Market ◽  
Short Term ◽  
Liquidity Shocks ◽  
Explanatory Variables ◽  
Market Interest Rate ◽  
Egarch Model ◽  
The Global Financial Crisis ◽  
Martingale Hypothesis

During recent years the Russian money market has undergone substantial changes. The period of abundant liquidity was followed by temporary contraction in the end of 2007 and then by rapid deterioration of liquidity conditions in the second half of 2008. This paper provides the analysis of these developments, their causes and consequences. We then proceed by constructing a comprehensive model of the overnight rate on rubles on the Moscow interbank market (MIACR). We use martingale hypothesis to analyze the process of market interest rate determination and identify the liquidity effect. For this purpose we estimate the non-linear EGARCH model and calculate the contribution of different categories of explanatory variables to the interest rates dynamics and volatility. We find that, although volatile, the deviation of interbank overnight rate from BoRs policy rates can largely be explained by liquidity shocks. At the same we find the empirical confirmation of importance of exchange rate and foreign interest rates variables.

Negative interest rates in the eurozone

2019 ◽  
Vol 7 (2) ◽  
pp. 233-246 ◽  
Author(s):  
Domenica Tropeano
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Interest Rates ◽  
Global Financial Crisis ◽  
Transmission Mechanism ◽  
Economic Recovery ◽  
Interbank Market ◽  
Negative Rate ◽  
Negative Interest Rates ◽  
The Global Financial Crisis

This paper reviews the eurozone's negative rate deposit facility and seeks to explain its rationale. The paper rejects the conventional explanation that the negative rate deposit facility improves the transmission mechanism of monetary policy and contributes to the economic recovery of the area. Instead, the paper argues that the rationale for the policy is to be found in the interbank market. The European unsecured interbank market has malfunctioned since the beginning of the global financial crisis in 2007. The negative policy rate is an extreme attempt to revive that market, but that attempt has failed. Rather than being a conventional policy, as some scholars have argued, the paper maintains that the policy is deeply unconventional because it does not target the overnight interest rate as the interbank market has effectively become irrelevant.

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