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Measuring Liquidity Mismatch in the Banking Sector
Bai, Jennie - 2017
This paper constructs a Liquidity Mismatch Index (LMI) to gauge the mismatch between the market liquidity of assets and … the funding liquidity of liabilities, for 2882 bank holding companies over 2002 to 2014. The aggregate LMI decreases from … government during the financial crisis. The LMI is therefore informative about both individual bank liquidity and the liquidity …
Persistent link: https://www.econbiz.de/10012973857
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How do banks respond to increased funding uncertainty?
Ritz, Robert A.; Walther, Ansgar - 2014
Persistent link: https://www.econbiz.de/10010366299
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Banks and Sovereign Risk : A Granular View
Buch, Claudia M. - 2016
In this paper, we use detailed data on the sovereign debt holdings of all German banks to analyse the determinants of sovereign debt exposures and the implications of sovereign exposures for bank risk. Our main findings are as follows. First, sovereign bond holdings are heterogeneous across...
Persistent link: https://www.econbiz.de/10012988769
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Cross-border liquidity, relationships and monetary policy : evidence from the Euro area interbank crisis
Abbassi, Puriya; Bräuning, Falk; Fecht, Falko; … - 2014 - This version: November 2014
We analyze the impact of financial crises and monetary policy on the supply of wholesale funding liquidity, and also on … on interbank access and volume is stronger than on spreads. Liquidity supply restrictions are exacerbated for cross … price dispersion substantially decreases when the Eurosystem promises unlimited access to liquidity at a fixed price in …
Persistent link: https://www.econbiz.de/10010471858
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Cross-Border Liquidity, Relationships and Monetary Policy : Evidence from the Euro Area Interbank Crisis
Abbassi, Puriya - 2016
We analyze the impact of financial crises and monetary policy on the supply of wholesale funding liquidity, and also on … on interbank access and volume is stronger than on spreads. Liquidity supply restrictions are exacerbated for cross … price dispersion substantially decreases when the Eurosystem promises unlimited access to liquidity at a fixed price in …
Persistent link: https://www.econbiz.de/10012988708
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Banking crises : identifying dates and determinants
Jutasompakorn, Pearpilai; Brooks, Robert; Brown, Christine - In: Journal of international financial markets, … 32 (2014), pp. 150-166
Persistent link: https://www.econbiz.de/10011299799
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The distribution of excess liquidity in the euro area
Baldo, Luca; Hallinger, Benoît; Helmus, Caspar; … - 2017
Since 2008, excess liquidity - defined as the sum of holdings of central bank reserves in excess of reserve … small, slowly changing group of credit institutions. Despite the stability of the concentration of excess liquidity in … directing flows in the period 2015-16. In addition, the more recent concentration of excess liquidity is explained by the …
Persistent link: https://www.econbiz.de/10011747703
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How important is moral hazard for distressed banks?
Ben-David, Itzhak; Palvia, Ajay; Stulz, René M. - 2020
The moral hazard incentives of the bank safety net predict that distressed banks take on more risk and higher leverage. Since many factors reduce these incentives, including charter value, regulation, and managerial incentives, the net economic effect of these incentives is an empirical...
Persistent link: https://www.econbiz.de/10012216705
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Essays on financial development, financial fragility and growth
Rancière, Romain - 2003
Persistent link: https://www.econbiz.de/10003385475
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Measuring liquidity mismatch in the banking sector
Krishnamurthy, Arvind; Bai, Jennie; Weymuller, Charles-Henri - 2016
Persistent link: https://www.econbiz.de/10011563073