Federal Reserve Bank of Boston
International financial integration, crises, and monetary policy: evidence from the euro area interbank crises
We analyze how financial crises affect international financial integration, exploiting euro area proprietary interbank data, crisis and monetary policy shocks, and variation in loan terms to the same borrower on the same day by domestic versus foreign lenders. Crisis shocks reduce the supply of crossborder liquidity, with stronger volume effects than pricing effects, thereby impairing international financial integration. On the extensive margin, there is flight to home — but this is independent of quality. On the intensive margin, however, GIPS-headquartered debtor banks suffer in the Lehman crisis, but effects are stronger in the sovereign-debt crisis, especially for riskier banks. Nonstandard monetary policy improves interbank liquidity, but without fostering strong cross-border financial reintegration.
Cite this item
Puriya Abbassi & Falk Bräuning & Falko Fecht & Jose Luis Peydro, International financial integration, crises, and monetary policy: evidence from the euro area interbank crises, Federal Reserve Bank of Boston, Working Papers 17-6, 01 Jul 2017.
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
- F30 - International Economics - - International Finance - - - General
- G01 - Financial Economics - - General - - - Financial Crises
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
Keywords: financial integration; financial crises; cross-border lending; monetary policy; euro area sovereign crisis; liquidity
This item with handle RePEc:fip:fedbwp:17-6
is also listed on EconPapers
For corrections, contact Catherine Spozio ()