policy to mitigate liquidity risk. We inspect the LTD trends and cycles of 11 euro area countries by filtering methods and … rules. One that stimulates banks to issue retail deposits in an upturn and one that incentivizes banks to create loanable …

(2010). We further carry out a two-stage liquidity stress test similar to Van Den End (2010) where we simulate inflow and … that Turkish banking system with relatively low level of non-core liabilities is to a great extent robust to liquidity …

College) gave the SUERF 2015 Annual Lecture on Capital and Banks. The conference focused on core aspects of banking reform … regulation, recovery and resolution, and risk culture. …

to a liquidity regulation that is very similar to Basel III's Liquidity Coverage Ratio (LCR). We find that most banks …We investigate 62 Dutch banks' liquidity behaviour between January 2004 and March 2010, when these banks were subject … the regulation. More solvent banks hold fewer liquid assets against their stock of liquid liabilities, suggesting an …

This paper provides empirical evidence of behavioural responses by banks and their contribution to system …-wide liquidity stress. Using firm-specific balance sheet data, we construct aggregate indicators of macro-prudential risk. Measures … increasingly dependent across banks and concentrated on certain market segments. Banks' reactions were shaped by decreased risk …

This paper presents a macro stress-testing model for market and funding liquidity risks of banks, which have been main …, induced by behavioural reactions of heterogeneous banks, and idiosyncratic reputation effects. The impact on liquidity risk is … probability of a liquidity shortfall. An application to Dutch banks illustrates that the second round effects have more impact …

This paper presents a macro stress-testing model for liquidity risks of banks, incorporating the proposed Basel III … liquidity regulation, unconventional monetary policy and credit supply effects. First and second round (feedback) effects of … shocks are simulated by a Monte Carlo approach. Banks react according to the Basel III standards, endogenising liquidity risk …

This paper presents a macro stress-testing model for liquidity risks of banks, incorporating the proposed Basel III … liquidity regulation, unconventional monetary policy and credit supply effects. First and second round (feedback) effects of … shocks are simulated by a Monte Carlo approach. Banks react according to the Basel III standards, endogenising liquidity risk …

banks in the sample, according to their systemic importance scores. The methodology is then applied to EU and Eurozone … samples of banks to obtain their systemic importance ranking and SIFI lists. This is one of the first methodologies capable of … identifying systemically relevant banks at the European level. A statistical analysis and some geographical and historical …