Dissecting interbank risk

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dc.contributor.author Petit, Nuria
dc.contributor.author Serrano Jiménez, Pedro José
dc.contributor.author Lafuente Luengo, Juan Ángel
dc.contributor.other Universidad Carlos III de Madrid. Departamento de Economía de la Empresa
dc.date.accessioned 2017-05-12T17:48:10Z
dc.date.available 2017-05-12T17:48:10Z
dc.date.issued 2017-05-01
dc.identifier.issn 2387-175X
dc.identifier.uri http://hdl.handle.net/10016/24553
dc.description.abstract This 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.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working Papers Business
dc.relation.ispartofseries 17-02
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Interbank risk
dc.subject.other Basis swap
dc.subject.other Systemic risk
dc.subject.other Liquidity
dc.subject.other Particle filter
dc.title Dissecting interbank risk
dc.type workingPaper
dc.subject.jel G01
dc.subject.jel G12
dc.subject.jel G15
dc.subject.jel G32
dc.relation.projectID Gobierno de España. ECO2015-67305-P
dc.identifier.uxxi DT/0000001551
dc.description.responsability J.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.
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