TAILIEUCHUNG - Interbank lending, credit riSk Premia and collateral

At the same time there were progressively more skeptical views on the impact of securitization on the financial system stability. Some argue that by making illiquid loans liquid securitization could increase, other things being equal, the risk appetite of banks (Calem and LaCour, 2003; Wagner, 2007; and Brunnermeier and Sannikov, 2009). Risk sharing within the financial sector through securitization can also amplify bank risks also at the systemic risk level (Brunnermeier and Sannikov, 2010). Wagner (2007) shows that the liquidity of bank assets attained to securitization increases banking instability and the externalities associated with banking. | EUROPEAN CENTRAL BANK EUROSYSTEM WORKING PAPER SERIES NO 1107 I NOVEMBER 2009 INTERBANK LENDING CREDIT RISK PREMIA AND COLLATERAL by Florian Heider and Marie Hoerova EUROPEAN CENTRAL BANK EUROSYSTEM 200 111-111111 In 2009 all ECB publications feature a motif taken from the 200 banknote. WORKING PAPER SERIES NO 1107 I NOVEMBER 2009 INTERBANK LENDING CREDIT RISK PREMIA AND COLLATERAL 1 by Florian Heider and Marie Hoerova 2 This paper can be downloaded without charge from http or from the Social Science Research Network electronic library at http abstract_id 1498988. Ì We thank Douglas Gale Rafael Repullo Elu von Thadden and seminar participants at the European Central Bank and the Federal Reserve Bank of New York conference on Pricing and Provision of Liquidity Insurance for helpful comments. Dimitrios Rakitzis and Francesca Fabbri provided excellent research assistance. The views expressed do not necessarily reflect those of the European Central Bank or the Eurosystem. 2 European Central Bank Financial Research Division Kaiserstrasse 29 D-60311 Frankfurt am Main Germany e-mail and European Central Bank 2009 Address Kaiserstrasse 29 60311 Frankfurt am Main Germany Postal address Postfach 16 03 19 60066 Frankfurt am Main Germany Telephone 49 69 1344 0 Website http Fax 49 69 1344 6000 All rights reserved Any reproduction publication and reprint in the form of a different publication whether printed or produced electronically in whole or in part is permitted only with the explicit written authorisation of the ECB or the aathorf . The views expressed in this paper do not necessarily reflect those of the European Central Bank. The statement of purpose for the ECB Working Paper Series is availablefrom the ECB website http . eeupubbsscentificcwipsdaat httm index. ISSN 1725-2806 online

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