Market Microstructure, Banks' Behaviour, and Interbank Spreads

35 Pages Posted: 26 Oct 2013

See all articles by Giampaolo Gabbi

Giampaolo Gabbi

SDA Bocconi School of Management

Guido Germano

University College London; London School of Economics and Political Science

Vasilis Hatzopoulos

City University London - Department of Economics

Giulia Iori

City University London - Department of Economics

Mauro Politi

University of Marburg

Date Written: October 2, 2013

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.

Keywords: nterbank lending, market microstructure, subprime crisis, liquidity management

Suggested Citation

Gabbi, Giampaolo and Germano, Guido and Hatzopoulos, Vasilis and Iori, Giulia and Politi, Mauro, Market Microstructure, Banks' Behaviour, and Interbank Spreads (October 2, 2013). Available at SSRN: https://ssrn.com/abstract=2345185 or http://dx.doi.org/10.2139/ssrn.2345185

Giampaolo Gabbi

SDA Bocconi School of Management ( email )

Via Bocconi 8
Milan, Milan 20136
Italy

Guido Germano

University College London ( email )

Department of Computer Science
66-72 Gower Street
London, WC1E 6EA
United Kingdom
+44 20 3108 7105 (Phone)
+44 20 7387 1397 (Fax)

HOME PAGE: http://www.cs.ucl.ac.uk/staff/g.germano

London School of Economics and Political Science ( email )

Systemic Risk Centre
Houghton Street
London, WC2A 2AE
United Kingdom
+44 20 3108 7105 (Phone)
+44 20 7387 1397 (Fax)

HOME PAGE: http://www.systemicrisk.ac.uk/people/guido-germano

Vasilis Hatzopoulos

City University London - Department of Economics ( email )

Northampton Square
London, EC1V 0HB
United Kingdom

Giulia Iori (Contact Author)

City University London - Department of Economics ( email )

Northampton Square
London, EC1V 0HB
United Kingdom

Mauro Politi

University of Marburg ( email )

Universitätsstrasse 24
Marburg, D-35032
Germany

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