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Featured researches published by Puriya Abbassi.


Archive | 2014

Cross-Border Liquidity, Relationships and Monetary Policy: Evidence from the Euro Area Interbank Crisis

Puriya Abbassi; Falk Bräuning; Falko Fecht; Jose-Luis Peydro

We analyze the impact of financial crises and monetary policy on the supply of wholesale funding liquidity, and also on the compositional supply effects through cross-border and relationship lending. For empirical identification, we draw on the proprietary bank-to-bank European interbank dataset extracted from Target2 and also exploit the Lehman and sovereign crisis shocks as well as the main Eurosystem non-standard monetary policy measures. The robust results imply that the crisis shocks lead to worse access, volumes and spreads (in both the overnight and longer-term maturities). The quantitative impact on interbank access and volume is stronger than on spreads. Liquidity supply restrictions are exacerbated for cross-border lending after the Lehman failure; for banks headquartered in periphery countries, the impact is quantitatively stronger in the sovereign debt crisis. Moreover, the interbank market – unlike other credit markets – allows to exploit the price dispersion from different lenders on identical credit contracts, i.e. overnight uncollateralized loans in the same morning for the same borrower. This price dispersion increases massively with the crisis, and even more for riskier borrowers. Cross-border and previous relationship lenders charge higher prices for identical contracts in the crisis. Importantly, this price dispersion substantially decreases when the Eurosystem promises unlimited access to liquidity at a fixed price in October 2008 and announces the 3-year LTRO in December 2011, with economically stronger effects for borrowers in weaker countries.


Journal of Financial Stability | 2017

Credit Risk Interconnectedness: What Does the Market Really Know?

Puriya Abbassi; Christian T. Brownlees; Christina Hans; Natalia Podlich

We analyze the relation between market-based credit risk interconnectedness among banks during the crisis and the associated balance sheet linkages via funding and securities holdings. For identification, we use a proprietary dataset that has the funding positions of banks at the bank-to-bank level for 2006-13 in conjunction with investments of banks at the security level and the credit register from Germany. We find asymmetries both cross-sectionally and over time: when banks face difficulties to raise funding, the interbank lending affects market-based bank interconnectedness. Moreover, banks with investments in securities related to troubled classes have a higher credit risk interconnectedness. Overall, our results suggest that market-based measures of interdependence can serve well as risk monitoring tools in the absence of disaggregated high-frequency bank fundamental data.


Swiss Journal of Economics and Statistics | 2010

Interest rate dynamics and monetary policy implementation in Switzerland

Puriya Abbassi; Dieter Nautz; Christian J. Offermanns

SummaryThe maturity of the operational target of monetary policy is a distinguishing feature of the SNB’s operational framework of monetary policy. While most central banks use targets for the overnight rate to signal the policy-intended interest rate level, the SNB announces a target range for the three-month Libor. This paper investigates the working and the consequences of the SNB’s unique operational framework for the behavior of Swiss money market rates before and during the financial crisis.


Journal of Macroeconomics | 2012

The Effectiveness of Monetary Policy in Steering Money Market Rates During the Financial Crisis

Puriya Abbassi; Tobias Linzert


Journal of Financial Economics | 2016

Securities Trading by Banks and Credit Supply: Micro-Evidence from the Crisis

Puriya Abbassi; Rajkamal Iyer; Jose-Luis Peydro; Francesc Rodriguez Tous


Archive | 2015

Securities trading by banks and credit supply: Micro-evidence

Puriya Abbassi; Rajkamal Iyer; Jose-Luis Peydro; Francesc Rodríguez Tous


Journal of Money, Credit and Banking | 2017

Variations in Market Liquidity and the Intraday Interest Rate

Puriya Abbassi; Falko Fecht; Johannes Tischer


Archive | 2013

How Stressed are Banks in the Interbank Market

Puriya Abbassi; Falko Fecht; Patrick Weber


The North American Journal of Economics and Finance | 2012

Monetary transmission right from the start: On the information content of the Eurosystem's main refinancing operations

Puriya Abbassi; Dieter Nautz


Journal of Financial Intermediation | 2018

A comprehensive view on risk reporting: Evidence from supervisory data

Puriya Abbassi; Michael Schmidt

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Falko Fecht

Frankfurt School of Finance

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Jose-Luis Peydro

Barcelona Graduate School of Economics

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Dieter Nautz

Free University of Berlin

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Falk Bräuning

Federal Reserve Bank of Boston

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Rajkamal Iyer

Massachusetts Institute of Technology

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Michael Schmidt

Goethe University Frankfurt

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