Liquidity Creation And Financial Fragility PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Liquidity Creation And Financial Fragility PDF full book. Access full book title Liquidity Creation And Financial Fragility.
| Author | : Douglas Warren Diamond |
| Publisher | : |
| Total Pages | : 51 |
| Release | : 1999 |
| Genre | : Bank liquidity |
| ISBN | : |
Download Liquidity Risk, Liquidity Creation and Financial Fragility Book in PDF, ePub and Kindle
Both investors and borrowers are concerned about liquidity. Investors desire liquidity because they are uncertain about when they will want to eliminate their holding of a financial asset. Borrowers are concerned about liquidity because they are uncertain about their ability to continue to attract or retain funding. Because borrowers typically cannot repay investors on demand, investors will require a premium or significant control rights when they lend to borrowers directly, as compensation for the illiquidity investors will be subject to. We argue that banks can resolve these liquidity problems that arise in direct lending. Banks enable depositors to withdraw at low cost, as well as buffer firms from the liquidity needs of their investors. We show the bank has to have a fragile capital structure, subject to bank runs, in order to perform these functions. Far from being an aberration to be regulated away, the funding of illiquid loans by a bank with volatile demand deposits is rationalized in the context of the functions it performs. This model can be used to investigate important issues such as narrow banking and bank capital requirements
| Author | : Christian Weistroffer |
| Publisher | : Logos Verlag Berlin GmbH |
| Total Pages | : 124 |
| Release | : 2010 |
| Genre | : Business & Economics |
| ISBN | : 3832526978 |
Download Liquidity Creation and Financial Fragility Book in PDF, ePub and Kindle
Open-end real estate funds (OEREFs) are the predominant vehicle in Germany for channeling private capital flows into commercial real estate markets. They transform longer-term investment projects into daily redeemable claims. To the extent that OEREFs stand ready to both issue new shares and redeem outstanding ones on a daily basis they provide valuable liquidity transformation. At the same time, they become susceptible to run phenomena. This dissertation analyzes the inherent fragility of open-end real estate funds in light of the German open-end fund crisis of 2005/06. The dissertation comprises three papers. The first paper explores how fund performance and other factors influenced capital flows into OEREFs before, during and after the German open-end fund crisis of 2005/06. The second paper looks at the valuation practice of OEREFs and assesses whether funds have suffered from a valuation problem. It finds evidence in support of the view that systematic deviations of appraised values from prices achieved in the market were at the heart of the 2005/06 German open-end fund crisis. The third paper relates findings from banking theory to OEREFs. It explores under which conditions the open-end fund contract resembles a demand deposit contract that is prone not only to panics but also to fundamental runs. The dissertation concludes by discussing policy options to mitigate the run problem.
| Author | : Douglas Warren Diamond |
| Publisher | : |
| Total Pages | : 96 |
| Release | : 1998 |
| Genre | : Bank liquidity |
| ISBN | : |
Download Liquidity Risk, Liquidity Creation and Financial Fragility Book in PDF, ePub and Kindle
| Author | : Allen N. Berger |
| Publisher | : Academic Press |
| Total Pages | : 296 |
| Release | : 2015-11-24 |
| Genre | : Business & Economics |
| ISBN | : 0128005319 |
Download Bank Liquidity Creation and Financial Crises Book in PDF, ePub and Kindle
Bank Liquidity Creation and Financial Crises delivers a consistent, logical presentation of bank liquidity creation and addresses questions of research and policy interest that can be easily understood by readers with no advanced or specialized industry knowledge. Authors Allen Berger and Christa Bouwman examine ways to measure bank liquidity creation, how much liquidity banks create in different countries, the effects of monetary policy (including interest rate policy, lender of last resort, and quantitative easing), the effects of capital, the effects of regulatory interventions, the effects of bailouts, and much more. They also analyze bank liquidity creation in the US over the past three decades during both normal times and financial crises. Narrowing the gap between the "academic world" (focused on theories) and the "practitioner world" (dedicated to solving real-world problems), this book is a helpful new tool for evaluating a bank’s performance over time and comparing it to its peer group. Explains that bank liquidity creation is a more comprehensive measure of a bank’s output than traditional measures and can also be used to measure bank liquidity Describes how high levels of bank liquidity creation may cause or predict future financial crises Addresses questions of research and policy interest related to bank liquidity creation around the world and provides links to websites with data and other materials to address these questions Includes such hot-button topics as the effects of monetary policy (including interest rate policy, lender of last resort, and quantitative easing), the effects of capital, the effects of regulatory interventions, and the effects of bailouts
| Author | : Charles M. Kahn |
| Publisher | : |
| Total Pages | : 36 |
| Release | : 2010 |
| Genre | : |
| ISBN | : |
Download Liquidity, Payment and Endogenous Financial Fragility Book in PDF, ePub and Kindle
We study the fragility of the banking system in relation to its role in liquidity creation. In our framework, fragility stems from the interconnections banks establish to protect themselves from liquidity shocks. In the absence of contractual constraints, banks choose the optimal degree of mutual insurance, because market participants correctly take into account the economic effects of their own interdependence. When banks are in the business of providing liquidity, some contractual flexibility is missing. In this case, we show that banks have an incentive to become too risky in aggregate, since some of the beneficiaries of the liquidity provision are unable to compensate the banks for remaining solvent. We examine possible regulatory remedies for this problem.
| Author | : Zuzana Fungacova |
| Publisher | : International Monetary Fund |
| Total Pages | : 33 |
| Release | : 2015-05-06 |
| Genre | : Business & Economics |
| ISBN | : 1475581807 |
Download High Liquidity Creation and Bank Failures Book in PDF, ePub and Kindle
We formulate the “High Liquidity Creation Hypothesis” (HLCH) that a proliferation in the core activity of bank liquidity creation increases failure probability. We test the HLCH in the context of Russian banking, which provides a natural field experiment due to numerous failures experienced over the past decade. Using Berger and Bouwman’s (2009) liquidity creation measures as a comprehensive proxy for overall bank output, we find that high liquidity creation significantly increases the probability of bank failure; this finding survives multiple robustness checks. Our results suggest that regulatory authorities can mitigate systemic distress and reduce the costs of bank failures to society through early identification of high liquidity creators and enhanced monitoring of their funding and investment activities.
| Author | : Zuzana Fungacova |
| Publisher | : International Monetary Fund |
| Total Pages | : 33 |
| Release | : 2015-05-06 |
| Genre | : Business & Economics |
| ISBN | : 1484371100 |
Download High Liquidity Creation and Bank Failures Book in PDF, ePub and Kindle
We formulate the “High Liquidity Creation Hypothesis” (HLCH) that a proliferation in the core activity of bank liquidity creation increases failure probability. We test the HLCH in the context of Russian banking, which provides a natural field experiment due to numerous failures experienced over the past decade. Using Berger and Bouwman’s (2009) liquidity creation measures as a comprehensive proxy for overall bank output, we find that high liquidity creation significantly increases the probability of bank failure; this finding survives multiple robustness checks. Our results suggest that regulatory authorities can mitigate systemic distress and reduce the costs of bank failures to society through early identification of high liquidity creators and enhanced monitoring of their funding and investment activities.
| Author | : Manel Mazioud |
| Publisher | : |
| Total Pages | : |
| Release | : 2018 |
| Genre | : |
| ISBN | : |
Download Bank Capital and Liquidity Creation Book in PDF, ePub and Kindle
The purpose of this research paper is to examine the effect of bank capital on liquidity creation. Especially, we test two competing hypotheses: the “risk absorption” hypothesis and the “financial fragility-crowding out” hypothesis that describes such association in the context of UK and French banking industry. We use data collected from Bankscope for commercial banks pertaining to the aforementioned countries. The sample period range from 2000 to 2014. Liquidity creation was measured using a novel approach proposed by Berger and Bowman (2007). This study uses the quantile regression and the instrumental variables quantile regression, along with classical Ordinary Least Squares (OLS) and Panel regression, to deal with the mixed results reported by previous papers. Using OLS and panel regression, we first find that bank capital affects negatively liquidity creation which supports risk absorption hypothesis. Second, the result from quantile regression confirms the negative association between the aforementioned variables and shows that the effect is homogenous across quantiles of liquidity creation distribution.. Our result remains unchanged when using the quantile regression with instrumental variables to address potential problem of endogineity. This paper sheds more lights on the relationship between bank capital and liquidity creation by using a novel estimation approach based on the quantile regression methododolgy.
| Author | : Zuzana Fungáčová |
| Publisher | : |
| Total Pages | : 35 |
| Release | : 2017 |
| Genre | : |
| ISBN | : |
Download Bank Capital, Liquidity Creation and Deposit Insurance Book in PDF, ePub and Kindle
This paper examines how the introduction of deposit insurance influences the relationship between bank cap-ital and liquidity creation. As discussed by Berger and Bouwman (2009), there are two competing hypothes-es on this relationship which can be influenced by the presence of deposit insurance. The introduction of a deposit insurance scheme in an emerging market, Russia, provides a natural experiment to investigate this issue. We study three alternative measures of bank liquidity creation and perform estimations on a large set of Russian banks. Our findings suggest that the introduction of the deposit insurance scheme exerts a limited impact on the relationship between bank capital and liquidity creation and does not change the negative sign of the relationship. The implication is that better capitalized banks tend to create less liquidity, which sup-ports the "financial fragility/crowding-out" hypothesis. This conclusion has important policy implications for emerging countries as it suggests that bank capital requirements implemented to support financial stability may harm liquidity creation. JEL classification: G21; G28; G38; P30; P50 Keywords: Bank capital, liquidity creation, deposit insurance, Russia.
| Author | : Roman Horvath |
| Publisher | : |
| Total Pages | : 23 |
| Release | : 2016 |
| Genre | : |
| ISBN | : |
Download How Bank Competition Influence Liquidity Creation Book in PDF, ePub and Kindle
This paper evaluates the effect of bank competition on liquidity creation by banks. Thus, we contribute to the literature on both bank competition and the determinants of liquidity creation by banks. To explore this relationship, we conduct dynamic GMM panel estimations on a dataset of Czech banks from 2002 to 2010. We find that enhanced competition reduces liquidity creation, a finding we observe under different specifications, including alternative measures of liquidity creation. We explain this finding in terms of the impact of increased bank competition on the financial fragility of banks, which leads banks to reduce their lending and deposit activities. The evidence suggests that pro-competitive policies in the banking industry can reduce liquidity provision by banks. JEL Codes: G21. Keywords: bank competition, liquidity creation.
