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Systemic Illiquidity Noise-based measure : a solution for systemic liquidity monitoring in frontier and emerging markets

Dziwok, Ewa; Kara's, Marta A. - In: Risks : open access journal 9 (2021) 7, pp. 1-29

liquidity risk characteristics. The analysis also illustrates the impact of the introduction of the euro on systemic illiquidity …

Persistent link: https://www.econbiz.de/10012598934

How should governments create liquidity?

Jackson, Timothy P.; Pennacchi, George G. - In: Journal of monetary economics 118 (2021), pp. 281-295

Persistent link: https://www.econbiz.de/10012603777

Bank Liquidity Provision Across the Firm Size Distribution

Chodorow-Reich, Gabriel; Darmouni, Olivier; Luck, Stephan; … - 2021

bolstered their liquidity and alleviated the shortfall …

Persistent link: https://www.econbiz.de/10013231379

Credit Transmission, Liquidity, and Bank Capital in Colombia

Clavijo, Sergio - 2021

attention to the period of global liquidity spurred by the COVID-pandemic during 2020-2022. Challenges for banks operating in …. Finally, compression of financial wedges, increasing credit risks, and higher liquidity-capital requirements (over 2021 …

Persistent link: https://www.econbiz.de/10013234279

Flight to Liquidity and Systemic Bank Runs

Robatto, Roberto - 2021

This paper presents a general equilibrium, monetary model of bank runs to study monetary injections during financial crises. When the probability of runs is positive, depositors increase money demand and reduce deposits; at the economy-wide level, the velocity of money drops and deflation...

Persistent link: https://www.econbiz.de/10013248853

Liquidity Level or Liquidity Risk? A Fresh Look with New Measures

Al-Haji, Ahmad - 2021

Lou and Sadka (2011) examine the effect of stock liquidity characteristics on stock performance during the 2008 …-2009 crisis. Their conclusion is that liquidity risk, and not the liquidity level, explains stock performance during the crisis …. Lou and Sadka (2011) measure liquidity via Amihud’s (2002) illiquidity measure. I construct a new measure of illiquidity …

Persistent link: https://www.econbiz.de/10013249589

Effect of credit risk, liquidity risk, and market risk on profitability of Nepalese commercial banks

Bajagai, Raj Kumar; Keshari, Ravi Kumar; Bhetwaf, Pratikshya - In: Nepalese journal of economics : a publication of … 3 (2019) 3, pp. 142-156

Persistent link: https://www.econbiz.de/10013204951

A structural model of liquidity in over‑the‑counter markets

Coen, Jamie; Coen, Patrick - 2022

Persistent link: https://www.econbiz.de/10013285012

Liquidating Illiquid Collateral

Oehmke, Martin - 2015

Defaults of financial institutions can cause large, disorderly liquidations of repo collateral. This paper analyzes the dynamics of such liquidations. The model shows that (i) the equilibrium price of the collateral asset can overshoot; (ii) the creditor structure in repo lending involves a...

Persistent link: https://www.econbiz.de/10013036180

Bank Loans for Private and Public Firms in a Liquidity Crunch

Allen, Jason - 2015

. Our results suggest, however, that banks propagate liquidity shocks by reducing credit only to a certain type of borrowers …. Importantly, in the financial crisis banks passed the liquidity shock only to public firms and not to private firms. Loans to …

Persistent link: https://www.econbiz.de/10013037981