دانلود رایگان مقاله انگلیسی انتقال مرزی از نقدینگی اضطراری - الزویر 2018

Abstract

We show that emergency liquidity provision by the Federal Reserve transmitted to non-U.S. banking markets. Based on manually collected holding company structures, we identify banks in Germany with access to U.S. facilities. Using detailed interest rate data reported to the German central bank, we compare lending and borrowing rates of banks with and without such access. U.S. liquidity shocks cause a significant decrease in the short-term funding costs of the average German bank with access. This reduction is mitigated for banks with more vulnerable balance sheets prior to the inception of emergency liquidity. We also find a significant passthrough in terms of lower corporate credit rates charged for banks with the lowest pre-crisis leverage, US-dollar funding needs, and liquidity buffers. Spillover effects from U.S. emergency liquidity provision are generally confined to short-term rates.

5 Conclusions

We test whether access to U.S. emergency liquidity, which was available between December 2007 until April 2010 to domestic financial institutions and affiliates of non-U.S. banks alike, transmitted via internal capital markets of international bank holding companies (IBHC). We ask specifically, whether the usage of such emergency liquidity affected interest rate setting outside the U.S. banking market. To track this international interest rate transmission, we first identify banks that used U.S. liquidity assistance and trace their connections via IBHCs to affiliates that operate in Germany. For this market, we observe detailed monthly pricing of new lending and deposit taking reported by a representative sample of banks to the German central bank since January 2004.