Basel III: Rethinking Liquidity and Leverage
نویسندگان
چکیده
منابع مشابه
Strengthening Bank Management of Liquidity Risk: The Basel III Liquidity Standards
The global financial crisis highlighted the importance of ensuring that the financial system has adequate liquidity to withstand adverse circumstances. The funding pressures that began in 2007 underlined the acute deficiencies in the liquidity-risk-management practices of some banks, and the severity of the ensuing crisis required massive public sector support to stem the liquidity spiral and m...
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We model financial market liquidity as provided by financially constrained arbitrageurs. Market liquidity increases with the level of arbitrage capital, i.e., internal and external capital arbitrageurs can access frictionlessly. We show that liquidity dry-ups follow periods of low returns of arbitrageurs’ risky investment opportunities, and that liquidity is correlated across markets. A welfare...
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This paper exposes a fundamental tension between the micro-prudential objective of subjecting banks to greater discipline through debt markets and the macro-prudential objective of containing systemic risk. We show that banks are illiquid due to the inability of bankers to credibly pre-commit to asset choices. Bank debt can reduce this illiquidity by disciplining bankers with the threat of prem...
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ژورنال
عنوان ژورنال: Economic Research-Ekonomska Istraživanja
سال: 2013
ISSN: 1331-677X,1848-9664
DOI: 10.1080/1331677x.2013.11517660