Identifying term interbank loans from Fedwire payments data

Dennis Kuo, David Skeie, James Vickery () and Thomas Youle

No 603, Staff Reports from Federal Reserve Bank of New York

Abstract: Interbank markets for term maturities experienced great stress during the 2007-09 financial crisis, as illustrated by the behavior of the one- and three-month Libor. Despite widespread interest in these markets, little data is available on dollar interbank lending for maturities beyond overnight. We develop a methodology to infer information about individual term dollar interbank loans settled through the Fedwire Funds Service, the large-value bank payment system operated by the Federal Reserve Banks. We find a sharp increase in the dispersion of inferred term interbank interest rates, a shortening of loan maturities, and a decline in term lending volume following the failure of Lehman Brothers in September 2008. Several diagnostic tests suggest that our approach provides a useful source of information about the term interbank market, allowing for a number of research applications.

Keywords: interbank markets; loan; Fedwire; algorithm (search for similar items in EconPapers)
JEL-codes: G01 G10 G21 (search for similar items in EconPapers)
Date: 2013
New Economics Papers: this item is included in nep-ban and nep-mon
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Citations: View citations in EconPapers (28)

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