CEPR: small banks pay big premium during credit crunch
A paper published by the Centre of Economic Policy Research in April identifies a number of frictions in liquidity markets relating to small banks during periods of tight credit.
The paper finds market liquidity as well as bank-specific and market-wide factors affect the prices that banks pay for credit. This is captured here by borrowing rates in repos with the central bank and benchmarked by the overnight index swap.
Unlike previous studies in this area, the paper uses price data for a range
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