Similar Search Results

Foucault, Thierry; Kozhan, Roman; Tham, Wing Wah - C.E.P.R. Discussion Papers - 2014

High frequency arbitrage opportunities sometimes arise when the price of one asset follows, with a lag, changes in the … suppliers to the risk of being picked off by arbitrageurs. Hence, more frequent toxic arbitrage opportunities and a faster … triangular arbitrage opportunities in the FX market. In our sample, a 1% increase in the likelihood that a toxic arbitrage …

Persistent link: https://www.econbiz.de/10011083979

Systemic Risk, Interbank Relations and Liquidity Provision by the Central Bank

Freixas, Xavier; Parigi, Bruno; Rochet, Jean-Charles - C.E.P.R. Discussion Papers - 1999

We model systemic risk in an interbank market. Banks face liquidity needs as consumers are uncertain about where they need to consume. Interbank credit lines allow banks to cope with these liquidity shocks while reducing the cost of maintaining reserves. However, the interbank market exposes the...

Persistent link: https://www.econbiz.de/10005661695

Modelling the liquidity ratio as macroprudential instrument

End, Jan Willem van den; Kruidhof, Mark - de Nederlandsche Bank - 2012

The Basel 3 Liquidity Coverage Ratio (LCR) is a micro prudential instrument to strengthen the liquidity position of banks. However if in extreme scenarios the LCR becomes a binding constraint, the interaction of bank behaviour with the regulatory rule can have negative externalities. We simulate...

Persistent link: https://www.econbiz.de/10010543516

Complementing Bagehot: Illiquidity and insolvency resolution

Eijffinger, Sylvester C W; Nijskens, Rob - C.E.P.R. Discussion Papers - 2011

During the recent financial crisis, central banks have provided liquidity and governments have set up rescue programmes to restore confidence and stability, often against the LLR principle advocated by Bagehot. Using a model of a systemic bank suffering from liquidity shocks, we find that the...

Persistent link: https://www.econbiz.de/10009320403

Liquidity Regulation, Funding Costs and Corporate Lending

Bonner, Clemens - de Nederlandsche Bank - 2012

This paper analyzes the impact of a liquidity requirement similar to the Basel 3 Liquidity Coverage Ratio (LCR) on banks' funding costs and corporate lending rates. Using a dataset of 26 Dutch banks from January 2008 to December 2011, I find that banks which are just above/below their...

Persistent link: https://www.econbiz.de/10010757277

Banks' Liquidity Buffers and the Role of Liquidity Regulation

Bonner, Clemens; Lelyveld, Iman van; Zymek, Robert - de Nederlandsche Bank - 2013

banks' liquidity risk management. Our main question is whether the presence of liquidity regulation substitutes or …

Persistent link: https://www.econbiz.de/10010757282

The Impact of the LCR on the Interbank Money Market

Bonner, Clemens; Eijffinger, Sylvester - de Nederlandsche Bank - 2012

This paper analyzes the impact of a liquidity requirement similar to 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 of Dutch banks from 2005 to 2011, we show that banks which...

Persistent link: https://www.econbiz.de/10010757285

Bank liquidity, the maturity ladder, and regulation

Haan, Leo de; End, Jan Willem van den - de Nederlandsche Bank - 2012

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

Persistent link: https://www.econbiz.de/10010757286

The lender of last resort: liquidity provision versus the possibility of bail-out

Eijffinger, Sylvester C W; Nijskens, Rob - C.E.P.R. Discussion Papers - 2010

Banking regulation has proven to be inadequate to guard systemic stability in the recent financial crisis. Central banks have provided liquidity and ministries of finance have set up rescue programmes to restore confidence and stability. Using a model of a systemic bank suffering from liquidity...

Persistent link: https://www.econbiz.de/10008468710

Liquidity Hoarding and Interbank Market Spreads: The Role of Counterparty Risk

Heider, Florian; Hoerova, Marie; Holthausen, Cornelia - C.E.P.R. Discussion Papers - 2010

We study the functioning and possible breakdown of the interbank market in the presence of counterparty risk. We allow banks to have private information about the risk of their assets. We show how banks' asset risk affects funding liquidity in the interbank market. Several interbank market...

Persistent link: https://www.econbiz.de/10008530367