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Banks fearing the drought? : liquidity hoarding as a response to idiosyncratic interbank funding dry-ups
Littke, Helge C. N.; Ossandon Busch, Matias - 2018
asset positions once the aggregate interbank funding market experiences a dry-up. To this regard, we show that liquidity … strategy further helps us to analyse how disruptions in the bank headquarters’ interbank market can lead to liquidity and …
Persistent link: https://www.econbiz.de/10011863972
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Market discipline and liquidity risk : evidence from the interbank funds market
Sarmiento, Miguel - 2016
demand for liquidity in the interbank market as wells as banks' access to this market. Results indicate that riskier banks … pay higher prices and borrow less liquidity, concurrent with the existence of market discipline. More capitalized and … higher prices and hoard liquidity when liquidity positions across them are more imbalanced and during a monetary policy …
Persistent link: https://www.econbiz.de/10011554714
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Frictions in the Interbank Market and Uncertain Liquidity Needs : Implications for Monetary Policy Implementation
Bucher, Monika - 2014
This paper shows that depending on the distribution of banks' uncertain liquidity needs and on how monetary policy is …
Persistent link: https://www.econbiz.de/10013048042
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Interbank Risk Assessment – A Simulation Approach
Jager, Maximilian - 2020
We introduce a novel simulation-based network approach, which provides full-fledged distributions of potential interbank losses. Based on those distributions we propose measures for (i) systemic importance of single banks, (ii) vulnerability of single banks, and (iii) vulnerability of the whole...
Persistent link: https://www.econbiz.de/10012836322
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Interbank rate uncertainty and bank lending
Altavilla, Carlo; Carboni, Giacomo; Lenza, Michele; … - 2019
This paper investigates the effects of interbank rate uncertainty on lending rates to euro area firms. We introduce a novel measure of interbank rate uncertainty, computed as the cross-sectional dispersion in interbank market rates on overnight unsecured loans. Using proprietary bank-level data,...
Persistent link: https://www.econbiz.de/10012059036
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Agent-based model of system-wide implications of funding risk
Hałaj, Grzegorz - 2018
Liquidity has its systemic aspect that is frequently neglected in research and risk management applications. We build a … model that focuses on systemic aspects of liquidity and its links with solvency conditions accounting for pertinent …
Persistent link: https://www.econbiz.de/10011779837
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Understanding systemic risk : the trade-offs between capital, short-term funding and liquid asset holdings
Gauthier, Céline; He, Zhongfang; Souissi, Moez - 2010
We offer a multi-period systemic risk assessment framework with which to assess recent liquidity and capital regulatory … requirement proposals in a holistic way. Following Morris and Shin (2009), we introduce funding liquidity risk as an endogenous … outcome of the interaction between market liquidity risk, solvency risk, and the funding structure of banks. To assess the …
Persistent link: https://www.econbiz.de/10008728707
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Optimization of Constrained Liquidity Management
Tawfik, Maged - 2018
A consistent framework for optimal liquidity management is presented. This framework optimizes the cost of covering …, and adverse market impact are the major drivers of cost. The notion of a deployable liquidity resource, which is … subsequently extend to the notion of a dated liquidity strategy, is introduced. A formalization of LCR as a typical regulatory …
Persistent link: https://www.econbiz.de/10012932264
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Funding Liquidity Risk : Definition and Measurement
Drehmann, Mathias - 2013
Funding liquidity risk has played a key role in all historical banking crises. Nevertheless, a measure based on … reveals funding liquidity risk. We can extract an insurance premium from banks' bids which we propose as measure of funding … liquidity risk. Using a unique data set consisting of all bids in the main refinancing operation auctions conducted at the ECB …
Persistent link: https://www.econbiz.de/10013094483
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Essays on monetary policy, safe assets, and the repo market
Bechtel, Alexander - 2021
Persistent link: https://www.econbiz.de/10012647998