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Dissecting interbank risk

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dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorPetit, Nuria
dc.contributor.authorSerrano, Pedro
dc.contributor.authorLafuente Luengo, Juan Ángel
dc.contributor.otherUniversidad Carlos III de Madrid. Departamento de Economía de la Empresaes
dc.date.accessioned2017-05-12T17:48:10Z
dc.date.available2017-05-12T17:48:10Z
dc.date.issued2017-05-01
dc.description.abstractThis paper analyses interbank risk using the information content of basis swap (BS) spreads, floating-to-floating interest rate swaps whose payments are associated with euro deposit rates for alternative tenors. We propose an empirical model to decompose BS quotes into expected and unexpected components. To estimate both unobservable constituents of BS spreads, we solve a signal extraction problem using a particle filter. Our empirical findings show that unexpected changes of BS spreads are linked to systemic risk. Shocks to aggregate liquidity are also important to explain regime shifts. Sovereign risk and risk aversion are relevant factors explaining expected fluctuations.en
dc.description.responsabilityJ.A. Lafuente and J. Ruiz acknowledge financial support by national research project from Ministerio de Economía y Competitividad (MEC) of Spanish Government [ECO2015-67305-P]; and Bank of Spain. J.A. Lafuente also acknowledges Generalitat Valenciana grant [PROMETEOII/2013/015]. P. Serrano acknowledges financial support from research projects from Junta de Andalucía [P12-SEJ-1733]; MEC [2016/00118/001]; and Fundación Ramón Areces 2016 Social Sciences grant.en
dc.format.mimetypeapplication/pdf
dc.identifier.issn2387-175Xes
dc.identifier.urihttps://hdl.handle.net/10016/24553
dc.identifier.uxxiDT/0000001551es
dc.language.isoenges
dc.relation.ispartofseriesUC3M Working Papers Businessen
dc.relation.ispartofseries17-02
dc.relation.projectIDGobierno de España. ECO2015-67305-Pes
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/*
dc.subject.jelG01
dc.subject.jelG12
dc.subject.jelG15
dc.subject.jelG32
dc.subject.otherInterbank risken
dc.subject.otherBasis swapen
dc.subject.otherSystemic risken
dc.subject.otherLiquidityen
dc.subject.otherParticle filteren
dc.titleDissecting interbank risken
dc.typeworking paper*
dspace.entity.typePublication
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