Stressed, Not Frozen: The Federal Funds Market in the Financial Crisis
研究了2008年金融危机期间美国隔夜银行间市场中流动性囤积和交易对手风险的重要性，发现交易对手风险比流动性囤积影响更大，雷曼兄弟破产后贷款条件对借款人特征更敏感。
ABSTRACT We examine the importance of liquidity hoarding and counterparty risk in the U.S. overnight interbank market during the financial crisis of 2008. Our findings suggest that counterparty risk plays a larger role than does liquidity hoarding: the day after Lehman Brothers' bankruptcy, loan terms become more sensitive to borrower characteristics. In particular, poorly performing large banks see an increase in spreads of 25 basis points, but are borrowing 1% less, on average. Worse performing banks do not hoard liquidity. While the interbank market does not freeze entirely, it does not seem to expand to meet latent demand.