Measuring systemic liquidity risk and the cost of liquidity insurance:
Saved in:
| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
[Washington, D.C.]
International Monetary Fund
2012
|
| Series: | IMF working paper
WP/12/194 |
| Subjects: | |
| Online Access: | FLA01 |
| Item Description: | Title from PDF title page (IMF Web site, viewed Oct. 3, 2016) |
| Physical Description: | 1 online resource illustrations |
| ISBN: | 1475597622 9781475597622 |
Staff View
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| 505 | 8 | |a 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 | |
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| contents | 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 |
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| dewey-ones | 332 - Financial economics |
| dewey-raw | 332 |
| dewey-search | 332 |
| dewey-sort | 3332 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | DE-604.BV045358141 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T08:15:54Z |
| institution | BVB |
| isbn | 1475597622 9781475597622 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-030744732 |
| oclc_num | 903698897 |
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| physical | 1 online resource illustrations |
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| publishDate | 2012 |
| publishDateSearch | 2012 |
| publishDateSort | 2012 |
| publisher | International Monetary Fund |
| record_format | marc |
| series2 | IMF working paper |
| spelling | Severo, Tiago Verfasser aut Measuring systemic liquidity risk and the cost of liquidity insurance Tiago Severo [Washington, D.C.] International Monetary Fund 2012 1 online resource illustrations txt rdacontent c rdamedia cr rdacarrier IMF working paper WP/12/194 Title from PDF title page (IMF Web site, viewed Oct. 3, 2016) 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 BUSINESS & ECONOMICS / Finance bisacsh Bank liquidity fast Insurance fast Liquidity (Economics) fast Risk fast Stocks / Rate of return fast Liquidity (Economics) Bank liquidity Risk Stocks Rate of return Insurance International Monetary Fund Sonstige oth |
| spellingShingle | Severo, Tiago Measuring systemic liquidity risk and the cost of liquidity insurance 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 BUSINESS & ECONOMICS / Finance bisacsh Bank liquidity fast Insurance fast Liquidity (Economics) fast Risk fast Stocks / Rate of return fast Liquidity (Economics) Bank liquidity Risk Stocks Rate of return Insurance |
| title | Measuring systemic liquidity risk and the cost of liquidity insurance |
| title_auth | Measuring systemic liquidity risk and the cost of liquidity insurance |
| title_exact_search | Measuring systemic liquidity risk and the cost of liquidity insurance |
| title_full | Measuring systemic liquidity risk and the cost of liquidity insurance Tiago Severo |
| title_fullStr | Measuring systemic liquidity risk and the cost of liquidity insurance Tiago Severo |
| title_full_unstemmed | Measuring systemic liquidity risk and the cost of liquidity insurance Tiago Severo |
| title_short | Measuring systemic liquidity risk and the cost of liquidity insurance |
| title_sort | measuring systemic liquidity risk and the cost of liquidity insurance |
| topic | BUSINESS & ECONOMICS / Finance bisacsh Bank liquidity fast Insurance fast Liquidity (Economics) fast Risk fast Stocks / Rate of return fast Liquidity (Economics) Bank liquidity Risk Stocks Rate of return Insurance |
| topic_facet | BUSINESS & ECONOMICS / Finance Bank liquidity Insurance Liquidity (Economics) Risk Stocks / Rate of return Liquidity (Economics) Bank liquidity Risk Stocks Rate of return Insurance |
| work_keys_str_mv | AT severotiago measuringsystemicliquidityriskandthecostofliquidityinsurance AT internationalmonetaryfund measuringsystemicliquidityriskandthecostofliquidityinsurance |