Counterparty choice, maturity shifts and market freezes: Lessons from the European interbank market
利用e-MID市场数据，研究了关系借贷对银行间债务期限结构的影响，发现持久流动性关系增加定期贷款概率，但无法防止压力期期限缩短，且短期负债集中的贷方会减少长期放贷，证实了展期风险导致市场冻结的观点。
We explore the impact of relationship lending on the interbank debt maturity structure of banks using data from the e-MID market covering both pre- and post-Lehman periods. We study the term structure and maturity shortening of interbank lending as an indicator of risk in times of stress. We identify bank-level and pair-level variables which are shown to contain information about the behaviour of lending relations during times of stress. Using a two-part fractional response model we show that durable liquidity relationships increase the probability of contracting term loans, but do not prevent maturity shortening during periods of acute stress. Finally, we find that lenders with concentrated short-term interbank liability structure tend to reduce their own long term lending, which confirms the rollover risk viewpoint of term interbank market freeze. Our findings are relevant for the modeling of interbank networks under stress and the design of forward looking stress tests for the banking system.