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Global Financial Stability Report, October 2010 : Sovereigns, Funding, and Systemic Liquidity

International Monetary Fund / Monetary and Capital … - 2010

The global financial system is still in a period of significant uncertainty. Although the ongoing recovery is expected to gradual strengthen balance sheets, progress toward stability has experienced a setback since the April 2010 GFSR. As discussed in this October 2010 report, policymakers in...

Persistent link: https://www.econbiz.de/10014405699

Canada : Financial Sector Assessment Program-Technical Note-Systemic Liquidity

International Monetary Fund / Monetary and Capital … - 2020

This Technical Note on Financial Safety Net and Crisis Management for the Canada examines systematic liquidity issues …. The review evaluated the Bank of Canada's (BOC's) operational framework and its ability to manage liquidity conditions in …. The paper highlights that the BOC's framework for market operations and liquidity provision in normal times is …

Persistent link: https://www.econbiz.de/10014407887

Global Financial Stability Report, October 2014 : Risk Taking, Liquidity, and Shadow Banking: Curbing Excess while Promoting Growth

International Monetary Fund / Monetary and Capital … - 2014

The October 2014 issue finds that six years after the start of the crisis, the global economic recovery continues to rely heavily on accommodative monetary policies in advanced economies. Monetary accommodation remains critical in supporting economies by encouraging economic risk taking in the...

Persistent link: https://www.econbiz.de/10014411650

Endogenous liquidity and contagion

Rahi, Rohit; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2009

Market liquidity is typically characterized by a number of ad hoc metrics, such as depth, volume, bid-ask spreads etc … grounds. In this paper we propose a welfare-based denition of liquidity and characterize its relationship to the usual proxies … intermediaries pursue prot opportunities by providing intermediation services (i.e. "liquidity") in exchange for an endogenous fee …

Persistent link: https://www.econbiz.de/10010884503

Search and endogenous concentration of liquidity in asset markets

Vayanos, Dimitri; Wang, Tan - London School of Economics (LSE) - 2004

identical, implying that the concentration of liquidity in one asset is socially desirable. At the same time, too many buyers …

Persistent link: https://www.econbiz.de/10010928661

A theory of strategic intermediation and endogenous liquidity

Rahi, Rohit; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2007

Market liquidity is typically characterized by a number of ad hoc metrics, such as depth (or market impact), volume … the existing metrics on welfare grounds. In this paper we propose a welfare-based denition of liquidity and characterize … intermedia- tion services (i.e. \liquidity") in exchange for an endogenous fee. Our model is well suited to study the contagion …

Persistent link: https://www.econbiz.de/10010745443

Information asymmetries, volatility, liquidity, and the Tobin Tax

Danilova, Albina; Julliard, Christian - London School of Economics (LSE) - 2014

sampling frequency of the data; iii) volatility, the limit order book, and liquidity, in terms of tightness, depth, and … empirical evidence about stock market volatility, liquidity, limit order books, and market frictions, and provides a natural …

Persistent link: https://www.econbiz.de/10011170092

A risk assessment model for banks

Goodhart, Charles; Sunirand, Pojanart; Tsomocos, … - London School of Economics (LSE) - 2004

The objective of this paper is to propose a model to assess risk for banks. Its main innovation is to incorporate endogenous interaction between banks, recognising that the actual risk to which an individual bank is exposed also depends on its interaction with other banks and other private...

Persistent link: https://www.econbiz.de/10010745460

Towards a measure of financial fragility

Aspachs, Oriol; Goodhart, Charles; Tsomocos, Dimitrios P.; … - London School of Economics (LSE) - 2006

This paper proposes a measure of financial fragility that is based on economic welfare in a general equilbrium model calibrated against UK data. The model comprises a household sector, three active heterogeneous banks, a central bank/regulator, incomplete markets, and endogenous default. We...

Persistent link: https://www.econbiz.de/10010745512

A model to analyse financial fragility: applications

Goodhart, Charles; Sunirand, Pojanart; Tsomocos, … - London School of Economics (LSE) - 2004

The purpose of our work is to explore contagious financial crises. To this end, we use simplified, thus numerically solvable, versions of our general model [Goodhart, Sunirand and Tsomocos (2003)]. The model incorporates heterogeneous agents, banks and endogenous default, thus allowing various...

Persistent link: https://www.econbiz.de/10010745587