Cross-border transmission of emergency liquidity

Thomas Kick, Michael Koetter and Manuela Storz

VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking from Verein für Socialpolitik / German Economic Association

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 of international banks, we can identify banks in Germany with access to U.S. facilities via internal capital markets. Using proprietary 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 German banks with access. Short-term loan rates charged to German corporates also decline, albeit with lags between two and four months. These spillover effects of U.S. monetary policy are confined to short-term rates.

Keywords: Monetary policy transmission; emergency liquidity; internal capital markets; interest rates (search for similar items in EconPapers)
JEL-codes: E52 E58 F23 F38 G01 G21 (search for similar items in EconPapers)
Date: 2017
New Economics Papers: this item is included in nep-ban, nep-cba, nep-mac and nep-mon
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Related works:
Journal Article: Cross-border transmission of emergency liquidity (2020)
Working Paper: Cross-border transmission of emergency liquidity (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:vfsc17:168112

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