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Systemic Risk and Liquidity in Payment Systems

Afonso, Gara - 2010

We study liquidity and systemic risk in high-value payment systems. Flows in high-value systems are characterized by … comparative statics analyses on changes to the environment. We find that banks attempting to conserve liquidity cause an increase …

Persistent link: https://www.econbiz.de/10012715620

Liquidity Black Holes

Morris, Stephen; Shin, Hyun Song - School of Management, Yale University - 2004

run are generated. A "liquidity black hole" is the analogue of the run outcome in a bank run model. Short horizon traders … liquidity black hole comes into existence. Empirical implications include the sharp V-shaped pattern in prices around the time … of the liquidity black hole. …

Persistent link: https://www.econbiz.de/10005368998

Liquidity Black Holes

Shin, Hyun Song; Morris, Stephen - Econometric Society - 2004

bank run are generated. A "liquidity black hole" is the analogue of the run outcome in a bank run model. Short horizon … liquidity black hole comes into existence. Empirical implications include the sharp V-shaped pattern in prices around the time … of the liquidity black hole …

Persistent link: https://www.econbiz.de/10005328990

Risk and liquidity in a system context

Shin, Hyun Song - Bank for International Settlements (BIS) - 2006

This paper explores the pricing of debt in a financial system where the assets that borrowers hold to meet their obligations include claims against other borrowers. Assessing financial claims in a system context captures features that are missing in a partial equilibrium setting. It is possible...

Persistent link: https://www.econbiz.de/10005157619

Liquidity and financial cycles

Adrian, Tobias; Shin, Hyun Song - Bank for International Settlements (BIS) - 2008

the innovations in the VIX index. Aggregate liquidity can be seen as the rate of change of the aggregate balance sheet of …

Persistent link: https://www.econbiz.de/10005127750

Liquidity Black Holes

Shin, Hyun Song; Morris, Stephen - Econometric Society - 2004

Persistent link: https://www.econbiz.de/10005699671

Exploring the Dynamics of Global Liquidity

Sally F. (Sally Fangnan) Chen; Liu, Philip; Maechler, … - International Monetary Fund (IMF) - 2012

This paper explores the concept of global liquidity, its measurement and macro-financial importance. We construct two … sets of indicators for global liquidity: a quantity series distinguishing between core and noncore liabilities of financial … between shocks to the supply and demand for global liquidity, and isolate their impact on the economy. Our results confirm …

Persistent link: https://www.econbiz.de/10010790397

Financial Regulation in a System Context

Morris, Stephen; Shin, Hyun Song - In: Brookings Papers on Economic Activity 39 (2008) 2 (Fall), pp. 229-274

Persistent link: https://www.econbiz.de/10009001892

Global Liquidity through the Lens of Monetary Aggregates

Chung, Kyuil; Lee, Jong-Eun; Loukoianova, Elena; Park, Hail - International Monetary Fund (IMF) - 2014

This paper examines how the financial activities of non-financial corporates (NFCs) in international markets potentially affects domestic monetary aggregates and financial conditions. Monetary aggregates reflect, in part, the activities of NFCs, who channel capital market financing into the...

Persistent link: https://www.econbiz.de/10011142187

Marking to Market : Panacea or Pandora's Box?

Plantin, Guillaume - 2010

Financial institutions have been at the forefront of the debate on the controversial shift in international standards from historical cost accounting to mark-to-market accounting. We show that the trade-offs at stake in this debate are far from one-sided. While the historical cost regime leads...

Persistent link: https://www.econbiz.de/10012758560