Showing 1 - 10 of 30
reduce loan granting, especially to firms or from banks with lower capital or liquidity ratios. Moreover, responding to …
Persistent link: https://www.econbiz.de/10008565827
We analyze the impact of efficiency on bank risk. We also consider whether bank capital has an effect on this … relationship. We model the inter-temporal relationships among efficiency, capital and risk for a large sample of commercial banks … supporting the bad management and efficiency version of the moral hazard hypotheses. In contrast, bank efficiency improvements …
Persistent link: https://www.econbiz.de/10008568193
This paper offers a new framework for the assessment of financial market liquidity and identifies two types: search … liquidity and systemic liquidity. Search liquidity, i.e. liquidity in “normal” times, is driven by search costs required for a … trader to find a willing buyer for an asset he/she is trying to sell or vice versa. Search liquidity is asset specific …
Persistent link: https://www.econbiz.de/10005344808
. This trade-off generates a number of insights about the impact of market conditions, e.g. liquidity and trading horizons …
Persistent link: https://www.econbiz.de/10005344830
The causes of the 2008 collapse and subsequent surge in global capital flows remain an open and highly controversial … issue. Employing a factor model coupled with a dataset of high-frequency portfolio capital flows to 50 economies, the paper … finds that common shocks – key crisis events as well as changes to global liquidity and risk – have exerted a large effect …
Persistent link: https://www.econbiz.de/10009216681
We study the prices that individual banks pay for liquidity (captured by borrowing rates in repos with the central bank … depend in particular on the distribution of liquidity across banks, which is calculated over time using individual banklevel … data on reserve requirements and actual holdings. Banks pay more for liquidity when positions are more imbalanced across …
Persistent link: https://www.econbiz.de/10009278181
We measure the commonality in hedge fund returns, identify its main driving factor and analyse its implications for financial stability. We find that hedge funds’ commonality increased significantly from 2003 until 2006. We attribute this rise mainly to the increase in hedge funds’ exposure...
Persistent link: https://www.econbiz.de/10010753747
busts, and analyses equity market reforms and excess liquidity as potential drivers of these stock price misalignments. Our … liquidity, seem to have significantly contributed to these misalignments. JEL Classification: G12, G18 …
Persistent link: https://www.econbiz.de/10008459132
liquidity was isolated from their interest rate expectations in March 2004. The paper offers two potential explanations for the … unexpected behavior. First, following the increased precision in the ECB’s liquidity provision after the end-of- period fine … tuning operations were added to the regularly applied tools, even a small bias in the liquidity supply could have resulted in …
Persistent link: https://www.econbiz.de/10005816192
issue and make reserve-management decisions which affect aggregate liquidity conditions. Numerical examples demonstrate bank … provision of liquidity for a range of central-bank regulations dealing with the potential of bank failure. In our model, banks …
Persistent link: https://www.econbiz.de/10005816194