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SUMMARY:Liquidity spillovers in the German banking system - Roling\, C (De
 utsche Bundesbank)
DTSTART:20140924T130000Z
DTEND:20140924T134500Z
UID:TALK54491@talks.cam.ac.uk
CONTACT:Mustapha Amrani
DESCRIPTION:Co-author: Frank Heid (Deutsche Bundesbank) \n\nThis paper est
 imates spillover or contagion effects in bank liquidity for a panel of Ger
 man banks. To estimate liquidity spillover effects\, a spatial econometric
  approach is adopted\, in which an economic distance is introduced that de
 scribes the connectedness between each pair of banks. This distance is con
 structed using interbank lending operations. Given this distance measure\,
  the set of banks form a network\, and spillover effects can be estimated 
 in this network by employing the spatial autoregressive model. The results
  from the instrumental variable estimation indicate that there is a positi
 ve and significant liquidity spillover effect for the period of 2008 to 20
 13. Furthermore\, spatial impulse response functions are estimated suggest
 ing that shocks liquidity in this network are not very persistent over tim
 e since they do not diffuse over a horizon longer than one week. \n
LOCATION:Seminar Room 1\, Newton Institute
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