This paper investigates contagion of major financial institutions by focusing on extreme stock return co-movements. Our … measure of contagion within banking and insurance sectors is the number of coincidences of daily extreme returns that cannot … evidence of contagion for the US, Germany and the UK. This result is stronger for the insurance sector than for the banking …

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 the systemic implications of the LCR by a liquidity stress …

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 …

prices in 2010 using data for 48 banks included in the European stress tests. We identify the twenty days with extreme …, even for banks without any exposure to Greece or other highly indebted euro countries. This finding suggests that markets …

currency crises. We address three interrelated questions: (i) How can we best capture contagion; (ii) Is the contagion of … measure, we test for contagion and conclude that contagion only exists regionally. Furthermore, we construct a â …€œcross-market rebalancing variable based on the regional CPJF. By employing a probit model to compare our new variable with a regular contagion …

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 … required, some banks consider cash flows scheduled beyond one month ahead when setting liquidity asset holdings, but they …

that banks respond to a negative funding liquidity shock in a number of ways. First, banks reduce lending, especially … wholesale lending. Second, banks hoard liquidity in the form of liquid bonds and central bank reserves. Third, banks conduct …The crisis of 2007-2009 has shown that financial market turbulence can lead to huge funding liquidity problems for …

in 2013 and to analyze the interaction of capital regulation and banks' liquidity buffers. Our analysis suggests that …The purpose of this paper is to assess the history of global liquidity regulation until the revised Basel III proposals … regulating capital is associated with declining liquidity uffers. The interaction of liquidity regulation and monetary policy as …

When does the general public lose trust in banks? We provide empirical evidence using responses by Dutch survey …. Negative media reports, falling stock prices, and opaque product information also affect trust in banks. Experiencing a bank …