@techreport{26967e4ecba541beb20527f625064ceb,
title = "The Impact of the LCR on the Interbank Money Market",
abstract = "This paper analyses the impact of the Basel 3 Liquidity Coverage Ratio (LCR) on the unsecured interbank money market and therefore on the implementation of monetary policy. Combining two unique datasets, we show that banks which are just above/below their short-term regulatory liquidity requirement pay and charge higher interest rates for unsecured interbank loans. The effect is larger for longer maturities and increases after the failure of Lehman Brothers. During a crisis, being close to the minimum liquidity requirement induces banks to decrease lending volumes. Given the high importance of a well-functioning interbank money market, our results suggest that the current design of the LCR is likely to dampen the effectiveness of monetary policy.",
keywords = "Monetary Policy, Interbank Market, Basel 3",
author = "C. Bonner and S.C.W. Eijffinger",
note = "This is also CentER Discussion Paper 2012-075 Pagination: 29",
year = "2012",
language = "English",
volume = "2012-019",
series = "EBC Discussion Paper",
publisher = "EBC",
type = "WorkingPaper",
institution = "EBC",
}