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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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
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