دانلود مقاله ISI انگلیسی شماره 80399
ترجمه فارسی عنوان مقاله

ریسک سیستماتیک در بازارهای عمده بانکی اروپا: شواهدی از نرخ بین بانکی ارائه شده

عنوان انگلیسی
Systemic risk in the major Eurobanking markets: Evidence from inter-bank offered rates
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
80399 2005 20 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Global Finance Journal, Volume 16, Issue 2, December 2005, Pages 125–144

ترجمه کلمات کلیدی
بانکی اروپا؛ نرخ بهره بین بانکی؛ ریسک سیستماتیک
کلمات کلیدی انگلیسی
Eurobanking; Inter-bank rates; Systemic risk
پیش نمایش مقاله
پیش نمایش مقاله  ریسک سیستماتیک در بازارهای عمده بانکی اروپا: شواهدی از نرخ بین بانکی ارائه شده

چکیده انگلیسی

In Eurobanking, the London Interbank Offered Rate is often assumed to be the reference rate for Eurocurrency loan transactions. A debate continues as to whether or not dominance by London is evident through the movements in interbank offered rates and whether any adverse shocks experienced there are felt through the other major Eurobanking centres of New York and Tokyo. This study finds that in the longer-term New York is the driver of both the London and the Tokyo interbank lending rates. The more important issue is that the interbank offered rates in London, New York and Tokyo show a long-term cointegrating relationship. Whilst Western banking is incestuous in terms of interbank lines of credit, support is nevertheless provided for rational expectations and market efficiency. However, cointegration also constitutes interdependence and in turn shows evidence of systemic risk (the threat of contagion) in these centres is provided. The implications for future research into global financial stability are alluded to in the conclusion.