Publication
May 2012
This paper analyzes the Italian interbank loan market from 1999 until 2010. The analysis of net trade flows shows a high imbalance caused by 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 analysis of bilateral loan relationships reveals that in the pre-crisis 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.
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English (PDF, 33 pages, 1.0 MB) |
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Author | Matthias Raddant |
Series | Kiel Institute Working Papers |
Issue | 1772 |
Publisher | Kiel Institute for the World Economy |
Copyright | © 2012 Kiel Institute for the World Economy |