Showing 1 - 10 of 14
The Basel 3 Liquidity Coverage Ratio (LCR) is a micro prudential instrument to strengthen the liquidity position of … regulatory rule can have negative externalities. We simulate the systemic implications of the LCR by a liquidity stress …
Persistent link: https://www.econbiz.de/10010543516
analysis suggests that preferential treatment in liquidity and capital regulation increases banks' demand for government bonds … beyond their own risk appetite. Liquidity and capital regulation also seem to incentivize banks to substitute other bonds …
Persistent link: https://www.econbiz.de/10010812608
This paper analyzes the impact of a liquidity requirement similar to the Basel 3 Liquidity Coverage Ratio (LCR) on … find that banks which are just above/below their quantitative liquidity requirement do not charge higher interest rates for …
Persistent link: https://www.econbiz.de/10010757277
We assess the determinants of banks' liquidity holdings using balance sheet data for nearly 7000 banks from 30 OECD … banks' liquidity risk management. Our main question is whether the presence of liquidity regulation substitutes or … complements banks' incentives to hold liquid assets. Our results reveal that in the absence of liquidity regulation, the …
Persistent link: https://www.econbiz.de/10010757282
This paper analyzes the impact of a liquidity requirement similar to the Basel 3 Liquidity Coverage Ratio (LCR) on the … banks from 2005 to 2011, we show that banks which are just above/below their short-term regulatory liquidity requirement pay … liquidity requirement's 30 day horizon. Being close to the minimum liquidity requirement induces banks to increase borrowing …
Persistent link: https://www.econbiz.de/10010757285
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 … interaction between capital and liquidity buffers. However, this interaction turns out to be weaker during a crisis. Although not …
Persistent link: https://www.econbiz.de/10010757286
Brothers. Liquidity premia and technical factors have significantly influenced the behaviour of inflation-indexed markets since …
Persistent link: https://www.econbiz.de/10008482047
This paper presents an analysis on the sensitivity of the Dutch interbank payment system with respect to the value transferred and the amount of available collateral. The Dutch system can be characterised as a system with a few large and many relatively small participants.Historical data has...
Persistent link: https://www.econbiz.de/10005101806
of liquidity are not fully borne by payment system participants can be expected to yield an inefficient outcome … liquidity expensive increases the risk of payment delays and payment system gridlocks, due to participants limiting their …
Persistent link: https://www.econbiz.de/10005101828
payment system, varying the time at which the disruption takes place. Liquidity levels equal historical levels. The impact of … such a disruption is quantified in terms of the additional liquidity needed in order to settle all payments than can settle …, banks are faced with costs, as they need to borrow this additional liquidity overnight from the market or from the central …
Persistent link: https://www.econbiz.de/10005053799