Information theoretic description of the e-Mid interbank market: implications for systemic risk

Hatzopoulos, V. & Iori, G. (2012). Information theoretic description of the e-Mid interbank market: implications for systemic risk (Report No. 12/04). London, UK: Department of Economics, City University London.

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Abstract

We present an empirical analysis of the European electronic interbank market of overnight lending (e-MID) during the years 1999–2009. The main goal of the paper is to explain the observed changes of the cross-sectional dispersion of lending/borrowing conditions before, during and after the 2007–2008 subprime crisis. Unlike previous contributions, that focused on banks’ dependent and macro information as explanatory variables, we address the role of banks’ behaviour and market microstructure as determinants of the credit spreads.

Item Type:	Monograph (Discussion Paper)
Additional Information:	© 2012 The authors.
Uncontrolled Keywords:	interbank lending, market microstructure, subprime crisis, credit spreads, liquidity management
Subjects:	H Social Sciences > HB Economic Theory
Divisions:	School of Social Sciences > Department of Economics > Department of Economics Discussion Paper Series
URI:	http://openaccess.city.ac.uk/id/eprint/1645

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