Verfügbarkeit: Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance

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...

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1. Verfasser:	Severo, Tiago (VerfasserIn)
Format:	Elektronisch E-Book
Sprache:	English
Veröffentlicht:	Washington, D.C International Monetary Fund 2012
Schriftenreihe:	IMF Working Papers Working Paper No. 12/194
Online-Zugang:	UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext
Zusammenfassung:	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
Beschreibung:	1 Online-Ressource (35 p)
ISBN:	1475505434 9781475505436

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spelling	Severo, Tiago Verfasser aut Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance Severo, Tiago Washington, D.C International Monetary Fund 2012 1 Online-Ressource (35 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 12/194 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 Online-Ausg http://elibrary.imf.org/view/IMF001/12994-9781475505436/12994-9781475505436/12994-9781475505436.xml Verlag URL des Erstveröffentlichers Volltext
spellingShingle	Severo, Tiago Measuring Systemic Liquidity Risk and the Cost of Liquidity 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_exact_search_txtP	Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance
title_full	Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance Severo, Tiago
title_fullStr	Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance Severo, Tiago
title_full_unstemmed	Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance Severo, Tiago
title_short	Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance
title_sort	measuring systemic liquidity risk and the cost of liquidity insurance
url	http://elibrary.imf.org/view/IMF001/12994-9781475505436/12994-9781475505436/12994-9781475505436.xml
work_keys_str_mv	AT severotiago measuringsystemicliquidityriskandthecostofliquidityinsurance

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