Funding liquidity risk: Definition and measurement

Drehmann, Mathias; Nikolaou, Kleopatra

doi:10.1016/j.jbankfin.2012.01.002

Cited by 159 publications

(64 citation statements)

References 37 publications

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“…Of course, there is also the possibility that the sum of total in ows and the stock of money are larger than out ows. In this case, there is no liquidity risk, no borrowing is necessary and the bank can sell the excess liquidity on the market (Drehman and Nikolau, 2009).…”

Section: Bank Liquidity and Interbank Marketsmentioning

confidence: 99%

To Lend or to Borrow on the Interbank Market: What Matters for Commercial Banks in the Visegrad Countries

Vodová¹

2015

Prague Economic Papers

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Abstract:The aim of this paper is to fi nd out determinants which aff ect the commercial banks´ decision to lend on the interbank market in the Visegrad countries. The data cover the period from 2000 to 2011. The net interbank position of individual banking sectors signifi cantly diff ers. Results of the probit model showed that banks´ decision to lend in interbank market is determined both by bank-specifi c and macroeconomic factors. Bank liquidity, capital adequacy and quality of the loan portfolio are important bank-specifi c factors. Growth rate of the gross domestic products, unemployment rate, fi nancial crisis and level of interest rates matter among macroeconomic factors. Although the Visegrad countries have a lot in common, diff erent factors determined the banks´ decision in individual countries. Moreover, the direction of infl uence of some factors may also diff er.

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Section: Bank Liquidity and Interbank Marketsmentioning

confidence: 99%

To Lend or to Borrow on the Interbank Market: What Matters for Commercial Banks in the Visegrad Countries

Vodová¹

2015

Prague Economic Papers

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“…Heider et al (2009) find that the occurrence of a negative liquidity shock is associated with an increased counterparty risk, since borrowers' default probabilities rise, and it becomes more difficult to distinguish between safe and risky banks. Furthermore, the money market rate can increase due to a higher funding liquidity risk f lenders, meaning the possibility that these banks are not able to meet their obligations over a certain horizon with immediacy (Drehmann and Nikolaou 2010). Specifically, banks that face such a risk includes the higher refinancing costs associated with it in their current prices they demand, and hence increasing the price on the unsecured term money market (Eisenschmidt and Tapking 2009).…”

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confidence: 99%

International Liquidity Shocks and Domestic Loan Supply in the Euro Area

Zwick

2015

SSRN Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in

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“…Banks also exposure market liquidity risk with which a bank cannot easily offset or eliminate a short position at the market price because of inadequate market depth or market disruption. Both of these risks strongly interact with each other especially during crisis periods (Drehmann and Nikolau, 2009). …”

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confidence: 99%

Basel III Liquidity Regulation And Forthcoming Issues: Assessing Ovelall Picture Of The Liquidity Indicators In Turkish Banking

Tasçi¹

2015

JFBM

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Despite having adequate capital levels, many banks experienced difficulties during the early liquidity phase of the recent financial crisis since they did not manage their liquidity in a prudent manner. In response, the Basel Committee on Banking Supervision in 2008 published Basel III regulatory framework to offer detailed guidance on the risk management and supervision of funding liquidity risk. This study firstly reviews the Basel III liquidity requirements and the existing literature to assess the forthcoming potential issues, challenges and impacts during the transition perod of implementing new rules. Studies show relevant evidence that the actions mandated by the Basel III liquidity rules to create an eligible balance sheet structure can lead banks to low-level profitability. Specifically, our second focus will be on the overall picture of liquidity performance of Turkish banking. The figures reveal that growing credit volume in recent years increased depenendency on external funding resources providing appropriate conditions for liquidity risk and financial instability. The results tend to bring pressing need for timely policy measures and strategic actions in the following periods to recover arising liquidity problems.

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Funding liquidity risk: Definition and measurement

Abstract: 4Non-technical summary 5

Cited by 159 publications

References 37 publications

To Lend or to Borrow on the Interbank Market: What Matters for Commercial Banks in the Visegrad Countries

To Lend or to Borrow on the Interbank Market: What Matters for Commercial Banks in the Visegrad Countries

International Liquidity Shocks and Domestic Loan Supply in the Euro Area

Basel III Liquidity Regulation And Forthcoming Issues: Assessing Ovelall Picture Of The Liquidity Indicators In Turkish Banking

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