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176
Liquidity Mismatch Measurement
, 2012
"... Policy-makers and academics recognize that liquidity is central in the dynamics of a financial crisis, and that measurement of liquidity is critical in evaluating and regulating systemic risk. 2 The proposed Basel Liquidity Coverage Ratio, for example, calls for banks to maintain a sufficient buffer ..."
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Cited by 4 (0 self)
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Policy-makers and academics recognize that liquidity is central in the dynamics of a financial crisis, and that measurement of liquidity is critical in evaluating and regulating systemic risk. 2 The proposed Basel Liquidity Coverage Ratio, for example, calls for banks to maintain a sufficient
1 Liquidity Mismatch Measurement
, 2013
"... Policy-makers and academics recognize that liquidity is central in the dynamics of a financial crisis, and that measurement of liquidity is critical in evaluating and regulating systemic risk.2 The proposed Basel Liquidity Coverage Ratio, for example, calls for banks to maintain a sufficient buffer ..."
Abstract
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Policy-makers and academics recognize that liquidity is central in the dynamics of a financial crisis, and that measurement of liquidity is critical in evaluating and regulating systemic risk.2 The proposed Basel Liquidity Coverage Ratio, for example, calls for banks to maintain a sufficient buffer
Measuring Liquidity Mismatch in the Banking Sector
"... This paper implements a liquidity measure proposed by Brunnermeier, Gorton and Krishnamurthy (2011), "the Liquidity Mismatch Index (LMI), " to measure the mismatch between the market liquidity of assets and the funding liquidity of liabilities. In the LMI each asset and liability has a con ..."
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This paper implements a liquidity measure proposed by Brunnermeier, Gorton and Krishnamurthy (2011), "the Liquidity Mismatch Index (LMI), " to measure the mismatch between the market liquidity of assets and the funding liquidity of liabilities. In the LMI each asset and liability has a
Measuring the liquidity mismatch in the banking sector, Working paper
, 2013
"... This paper expands on Brunnermeier, Gorton and Krishnamurthy (2011) and implements a liquidity measure, “Liquidity Mismatch Index (LMI), ” to gauge the mismatch between the market liquidity of assets and the funding liquidity of liabilities. We construct the LMIs for 2882 bank holding companies duri ..."
Abstract
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Cited by 4 (0 self)
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This paper expands on Brunnermeier, Gorton and Krishnamurthy (2011) and implements a liquidity measure, “Liquidity Mismatch Index (LMI), ” to gauge the mismatch between the market liquidity of assets and the funding liquidity of liabilities. We construct the LMIs for 2882 bank holding companies
Banking, liquidity, and bank runs in an infinite horizon economy.
- American Economic Review
, 2015
"... Abstract We develop a variation of the macroeconomic model of banking in Gertler and Kiyotaki (2011) that allows for liquidity mismatch and bank runs as in ..."
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Cited by 14 (0 self)
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Abstract We develop a variation of the macroeconomic model of banking in Gertler and Kiyotaki (2011) that allows for liquidity mismatch and bank runs as in
Banks, Maturity Mismatches And Liquidity Crises
, 1999
"... In determining the optimal maturity structure of bank loans in the presence of pre-determined, short-term international liabilities, we show that maturity mismatches in banks' balance sheets are fully consistent with the assumption of banks acting as self-interested, optimizing agents Key ..."
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In determining the optimal maturity structure of bank loans in the presence of pre-determined, short-term international liabilities, we show that maturity mismatches in banks' balance sheets are fully consistent with the assumption of banks acting as self-interested, optimizing agents Key
Liquidity crisis.
, 2010
"... This paper presents a dynamic general equilibrium model where asymmetric infor-mation about asset quality leads to asset illiquidity. Banking arises endogenously in this environment as banks can pool illiquid assets to average out their idiosyncratic qualities and issue liquid liabilities backed by ..."
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by pooled assets whose total quality is pub-lic information. Moreover, the liquidity mismatch in banks ’ balance sheets leads to endogenous bank capital (outside equity) requirements for preventing bank runs. The model indicates that banking has both positive and negative effects on long-run eco
Global Imbalances and Global Liquidity ∗
, 2012
"... The financial crisis has entered a dangerous phase. I argue in this paper that the retrenchment currently taking place in the European banking sector has broad implications for financial stability. More generally, I argue that the focus should be on ‘global liquidity imbalances’, rather than ‘global ..."
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Cited by 1 (0 self)
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‘global imbalances. ’ Global liquidity imbalances track the liquidity mismatch across countries and over time, which may or may not result in current account deficits and surpluses (i.e. global imbalances).
Liquidity risk and contagion for liquid funds
, 2011
"... Fund managers face liquidity problems but they have to distinguish the market liquidity risk implied by their assets and the funding liquidity risk. This latter is due to both the liquidity mismatch between assets and liabilities and the redemption risk due to the possible outflows from clients. The ..."
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Fund managers face liquidity problems but they have to distinguish the market liquidity risk implied by their assets and the funding liquidity risk. This latter is due to both the liquidity mismatch between assets and liabilities and the redemption risk due to the possible outflows from clients
305 Global Imbalances and Global Liquidity
"... The financial crisis has entered a dangerous phase. I argue in this article that the retrenchment currently taking place in the European banking sector has broad implications for financial stability. More generally, I argue that the focus should be on “global liquidity imbalances, ” rather than “glo ..."
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“global imbalances. ” Global liquidity imbalances track the liquidity mismatch across countries and over time, which may or may not result in current account deficits and surpluses (that is, global imbalances). 1.
Results 1 - 10
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176
