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Connected to Whom? International Interbank Borrowing During the Global Crisis
Author:
Mr. Kalin I Tintchev
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https://orcid.org/0000-0001-6603-157X
Series:
IMF Working Papers
Volume/Issue:
Volume 2013: Issue 014
Language:
English
Publication Date:
14 Jan 2013
DOI:
https://doi.org/10.5089/9781475542028.001
ISBN:
9781475542028
ISSN:
1018-5941
Pages:
33
Keywords:
WP; credit risk index; interbank market; Moody's KMV banking system default probability; liquidity risk; counterparty risk; financial interconnectedness; banking system borrowing; borrower effect; liquidity risk index; Commercial banks; Credit risk; Credit; Emerging and frontier financial markets; Global; Europe
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IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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The unprecedented collapse of international interbank borrowing was a prominent feature of the global financial crisis that started in August 2007. This paper focuses on the drivers of the retrenchment from 32 advanced and emerging banking systems. Using novel risk-weighted indexes the paper examines whether the banking systems’ access to credit was related to their domestic financial soundness and exposure to distressed international counterparties. The empirical findings suggest that both domestic and international risk factors contributed to the decline in international interbank borrowing during the crisis.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund