Liquidity Shocks, Market Discipline and Liquidity Risk PDF Download
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Author: Miguel Sarmiento
Publisher:
ISBN:
Category :
Languages : en
Pages : 44
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Book Description
This paper examines the impact of exogenous liquidity shocks on banks borrowing funds in the interbank market. We evaluate the effects of idiosyncratic liquidity shocks -- arising from deposits outflow at the bank level -- and of the aggregate liquidity shock related to the U.S. tapering observed in May 2013. We find that both liquidity shocks are associated with higher interbank loan prices, albeit the magnitude of the overprice and the impact on the access to interbank liquidity differ depending on borrower-specific characteristics. More capitalized and liquid banks can obtain lower prices and gain more access to the interbank market, even during liquidity shocks. Small banks are found to suffer more in terms of finding liquidity as their own credit risk and liquidity risk increase, and are more affected by liquidity shocks when compared to large banks. Lending relationships and central bank liquidity alleviate funding costs and smooth the impact of liquidity shocks. Results have implications for both financial stability and monetary policy transmission.
Author: Miguel Sarmiento
Publisher:
ISBN:
Category :
Languages : en
Pages : 44
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Book Description
This paper examines the impact of exogenous liquidity shocks on banks borrowing funds in the interbank market. We evaluate the effects of idiosyncratic liquidity shocks -- arising from deposits outflow at the bank level -- and of the aggregate liquidity shock related to the U.S. tapering observed in May 2013. We find that both liquidity shocks are associated with higher interbank loan prices, albeit the magnitude of the overprice and the impact on the access to interbank liquidity differ depending on borrower-specific characteristics. More capitalized and liquid banks can obtain lower prices and gain more access to the interbank market, even during liquidity shocks. Small banks are found to suffer more in terms of finding liquidity as their own credit risk and liquidity risk increase, and are more affected by liquidity shocks when compared to large banks. Lending relationships and central bank liquidity alleviate funding costs and smooth the impact of liquidity shocks. Results have implications for both financial stability and monetary policy transmission.
Author: Yakov Amihud
Publisher: Cambridge University Press
ISBN: 1139560158
Category : Business & Economics
Languages : en
Pages : 293
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Book Description
This book presents the theory and evidence on the effect of market liquidity and liquidity risk on asset prices and on overall securities market performance. Illiquidity means incurring a high transaction cost, which includes a large price impact when trading and facing a long time to unload a large position. Liquidity risk is higher if a security becomes more illiquid when it needs to be traded in the future, which will raise trading cost. The book shows that higher illiquidity and greater liquidity risk reduce securities prices and raise the expected return that investors require as compensation. Aggregate market liquidity is linked to funding liquidity, which affects the provision of liquidity services. When these become constrained, there is a liquidity crisis which leads to downward price and liquidity spiral. Overall, the volume demonstrates the important role of liquidity in asset pricing.
Author: George Chacko
Publisher: FT Press
ISBN: 0132172984
Category : Business & Economics
Languages : en
Pages : 260
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Book Description
Written for financial professionals, the authors thoroughly explain the modern global credit system; the roles of banks, hedge funds, insurers, central banks, mortgage markets, and other participants; and the credit-related instruments they rely on. In particular, the authors illuminate the crucial importance of liquidity, and show why liquidity failures have been the key cause of all major market crashes for the past several decades. The Global Financial System thoroughly examines economic environments in which slow de-leveraging leads to prolonged sluggish growth, and compares today's environment to other periods of deleveraging, such as the Great Depression and the Japanese economic meltdown of the '90s and '00s. It predicts potential pathways for the current crisis, and offers essential guidance to both policymakers and investment decision-makers.
Author: Franklin Allen
Publisher: OUP USA
ISBN: 0195390709
Category : Business & Economics
Languages : en
Pages : 718
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Book Description
One important cause of the 2007-2009 crisis was illiquidity combined with exposure of many financial institutions to liquidity needs. But what is liquidity and why is it so important for financial institutions to command enough liquidity? This book brings together classic articles and recent contributions to this important field.
Author: Leonard Matz
Publisher: Xlibris Corporation
ISBN: 1462892450
Category : Business & Economics
Languages : en
Pages : 400
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Book Description
Villains for the Great Meltdown of 2007-2008 seem plentiful. But the very concept of finding and punishing villains misses the target. Ideally, we learn from past failures. We perfect our craft. Lessons to be learned from the Great Meltdown are not just plentiful - they are also insightful. In LIQUIDITY RISK MEASUREMENT AND MANAGENT -- BASEL III AND BEYOND, Mr. Matz provides detailed, practical analysis and recommendations covering every aspect of liquidity risk measurement and management. * Examples of what went wrong are used extensively. * Best practices procedures are explained. * New regulatory guidance - both qualitative and quantitative, including Basel III - is discussed in detail.* Source material and examples from many countries are included.This is the "how to guide" for liquidity risk managers in financial institutions around the globe.
Author: Antonio Castagna
Publisher: John Wiley & Sons
ISBN: 1119990246
Category : Business & Economics
Languages : en
Pages : 600
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Book Description
A fully up-to-date, cutting-edge guide to the measurement and management of liquidity risk Written for front and middle office risk management and quantitative practitioners, this book provides the ground-level knowledge, tools, and techniques for effective liquidity risk management. Highly practical, though thoroughly grounded in theory, the book begins with the basics of liquidity risks and, using examples pulled from the recent financial crisis, how they manifest themselves in financial institutions. The book then goes on to look at tools which can be used to measure liquidity risk, discussing risk monitoring and the different models used, notably financial variables models, credit variables models, and behavioural variables models, and then at managing these risks. As well as looking at the tools necessary for effective measurement and management, the book also looks at and discusses current regulation and the implication of new Basel regulations on management procedures and tools.
Author: Shyam Venkat
Publisher: John Wiley & Sons
ISBN: 1118918789
Category : Business & Economics
Languages : en
Pages : 289
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Book Description
The most up-to-date, comprehensive guide on liquidity risk management—from the professionals Written by a team of industry leaders from the Price Waterhouse Coopers Financial Services Regulatory Practice, Liquidity Risk Management is the first book of its kind to pull back the curtain on a global approach to liquidity risk management in the post-financial crisis. Now, as a number of regulatory initiatives emerge, this timely and informative book explores the real-world implications of risk management practices in today's market. Taking a clear and focused approach to the operational and financial obligations of liquidity risk management, the book builds upon a foundational knowledge of banking and capital markets and explores in-depth the key aspects of the subject, including governance, regulatory developments, analytical frameworks, reporting, strategic implications, and more. The book also addresses management practices that are particularly insightful to liquidity risk management practitioners and managers in numerous areas of banking organizations. Each chapter is authored by a Price Waterhouse Coopers partner or director who has significant, hands-on expertise Content addresses key areas of the subject, such as liquidity stress testing and information reporting Several chapters are devoted to Basel III and its implications for bank liquidity risk management and business strategy Includes a dedicated, current, and all-inclusive look at liquidity risk management Complemented with hands-on insight from the field's leading authorities on the subject, Liquidity Risk Management is essential reading for practitioners and managers within banking organizations looking for the most current information on liquidity risk management.
Author: Andria van der Merwe
Publisher: Springer
ISBN: 1137389230
Category : Business & Economics
Languages : en
Pages : 211
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Book Description
Andria van der Merwe provides a thorough guide to the critical tools needed to navigate liquidity markets and value security pricing in the presence of market frictions and information asymmetries. This is essential reading for anyone with a current or future interest in liquidity models, market structures, and trading mechanisms.
Author: Chitru S. Fernando and Richard J. Herring
Publisher:
ISBN:
Category :
Languages : en
Pages : 43
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Book Description
Author: François-Serge Lhabitant
Publisher: John Wiley & Sons
ISBN: 0470181699
Category : Business & Economics
Languages : en
Pages : 502
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Book Description
Brings together today's best financial minds across the world to discuss the issue of liquidity in today's markets. It is often proxied by trade-based measures (such as trading volume, frequency of trading, dollar value of shares trade, etc), order based measures and price impact measures.
