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Reversals and the Returns to Liquidity Provision

Dai, Wei; Medhat, Mamdouh; Novy-Marx, Robert; Rizova, Savina - National Bureau of Economic Research - 2023

Different aspects of liquidity impact the performance of short-run reversals in different ways, consistent with the …

Persistent link: https://www.econbiz.de/10014226114

The Dynamics of Financially Constrained Arbitrage

Gromb, Denis - 2015

We develop a model of financially constrained arbitrage, and use it to study the dynamics of arbitrage capital … the dynamics of arbitrage activity are self-correcting: following a shock that depletes arbitrage capital, profitability … trades, although arbitrageurs cut their positions in these trades the least. When arbitrage capital is more mobile across …

Persistent link: https://www.econbiz.de/10012457698

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

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

Liquidity Dependence and the Waxing and Waning of Central Bank Balance Sheets

Acharya, Viral V.; Chauhan, Rahul S.; Rajan, Raghuram Govind - National Bureau of Economic Research - 2023

When the Federal Reserve (Fed) expanded its balance sheet via quantitative easing (QE), commercial banks financed reserve holdings with deposits and reduced their average maturity. They also issued lines of credit to corporations. However, when the Fed halted its balance-sheet expansion in 2014...

Persistent link: https://www.econbiz.de/10014247971

A macroprudential approach to address liquidity risk with the Loan-to-Deposit ratio

End, Jan Willem van den - de Nederlandsche Bank - 2013

This paper maps the empirical features of the Loan-to-Deposit (LTD) ratio with an eye on using it in macroprudential policy to mitigate liquidity risk. We inspect the LTD trends and cycles of 11 euro area countries by filtering methods and analyze the interaction between loans and deposits. We...

Persistent link: https://www.econbiz.de/10010822694

Bank Risk within and across Equilibria

Agur, Itai - de Nederlandsche Bank - 2011

This paper models a financial sector in which there is a feedback between individual bank risk and aggregate funding market problems. Greater individual risk taking worsens adverse selection problems on the market. But adverse selection premia on that market push up bank risk taking, leading to...

Persistent link: https://www.econbiz.de/10009193243