| Cao, Jin und Illing, Gerhard (21. April 2008): Endogenous Systemic Liquidity Risk. Münchener Wirtschaftswissenschaftliche Beiträge (VWL) 2008-9 |
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Abstract
Traditionally, aggregate liquidity shocks are modelled as exogenous events. Extending our previous work (Cao & Illing, 2007), this paper analyses the adequate policy response to endogenous systemic liquidity risk. We analyse 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 are a crucial requirement for sensible lender of last resort policy. In addition, we analyse 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 such a policy is strictly inferior to imposing minimum liquidity standards ex ante combined with lender of last resort policy.
| Dokumententyp: | Paper (Discussion Paper) |
|---|---|
| Publikationsform: | Preprint |
| Keywords: | Liquidity risk, Free-riding, Narrow banking, Lender of last resort |
| Fakultät: | Volkswirtschaft
Volkswirtschaft > Munich Discussion Papers in Economics Volkswirtschaft > Munich Discussion Papers in Economics > Makroökonomik Volkswirtschaft > Munich Discussion Papers in Economics > Finanzmärkte Volkswirtschaft > Lehrstühle > Seminar für Makroökonomie |
| Themengebiete: | 300 Sozialwissenschaften > 300 Sozialwissenschaft, Soziologie
300 Sozialwissenschaften > 330 Wirtschaft |
| JEL Classification: | E5, G21, G28 |
| URN: | urn:nbn:de:bvb:19-epub-3358-3 |
| Sprache: | Englisch |
| ID: | 3358 |
| Veröffentlicht am: | 21. Apr. 2008 14:01 |
| Letzte Änderungen: | 09. Aug. 2017 10:11 |
