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Measuring systemic liquidity risk and the cost of liquidity insurance
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| 자료유형 | 단행본 |
|---|---|
| 서명/저자사항 | Measuring systemic liquidity risk and the cost of liquidity insurance/ Tiago Severo. |
| 개인저자 | Severo, Tiago,author. |
| 단체저자명 | International Monetary Fund. Monetary and Capital Markets Department. |
| 발행사항 | [Washington, D.C.]: International Monetary Fund, 2012. |
| 형태사항 | 1 online resource: illustrations. |
| 총서사항 | IMF working paper;WP/12/194 |
| ISBN | 1475597622 9781475597622 |
| 일반주기 |
Title from PDF title page (IMF Web site, viewed Oct. 3, 2016).
|
| 서지주기 | Includes bibliographical references. |
| 요약 | I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several asset classes between 2004 and 2010. Then I test whether the equity returns of 53 global banks were exposed to this liquidity risk factor. Results show that the level of bank returns is not directly affected by the SLRI, but their volatility increases when liquidity conditions deteriorate. I do not find a strong association between bank size and exposure to the SLRI - measured as the sensitivity of volatility to the index. Surprisingly, exposure to systemic liquidity risk is positively associated with the Net Stable Funding Ratio (NSFR). The link between equity volatility and the SLRI allows me to calculate the cost that would be borne by public authorities for providing liquidity support to the financial sector. I use this information to estimate a liquidity insurance premium that could be paid by individual banks in order to cover for that social cost. |
| 일반주제명 | Liquidity (Economics) Bank liquidity. Risk. Stocks --Rate of return. Insurance. BUSINESS & ECONOMICS / Finance Bank liquidity. Insurance. Liquidity (Economics) Risk. Stocks --Rate of return. |
| 언어 | 영어 |
| 바로가기 |  |
