Endogenous Exposure to Systemic Liquidity Risk - Softcover

Cao, Jin; Illing, Professor Of Microeconomics Gerhard

 
9781249455103: Endogenous Exposure to Systemic Liquidity Risk
Softcover
ISBN 10: 1249455103 ISBN 13: 9781249455103
Verlag: Bibliogov, 2012

Inhaltsangabe

Traditionally, aggregate liquidity shocks are modeled as exogenous events. This paper analyzes the adequate policy response to endogenous exposure to systemic liquidity risk. We analyze the feedback between lender-of-last-resort policy and incentives of private banks, determining the aggregate amount of liquidity available. We show that imposing minimum liquidity standards for banks ex ante is a crucial requirement for sensible lender-of-last-resort policy. In addition, we analyze the impact of equity requirements and narrow banking, in the sense that banks are required to hold sufficient liquid funds so as to pay out in all contingencies. We show that both policies are strictly inferior to imposing minimum liquidity standards ex ante combined with lender-of-last-resort policy.

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Verlag
Bibliogov
Erscheinungsdatum
2012
Sprache
Englisch
ISBN 10 
1249455103
ISBN 13 
9781249455103
Einband
Taschenbuch
Anzahl der Seiten
48
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