The price of liquidity :
Fecht, Falko
The price of liquidity : bank characteristics and market conditions / [recurso electrónico] Falko Fecht, Kjell G. Nyborg, Jörg Rocholl. - Frankfurt am Main : European Central Bank, 2011 - 54 p. - Working paper series ; no. 1376 .
Bibliografía: p. 48-51.
We study the prices that individual banks pay for liquidity (captured by borrowing rates in repos with the central bank and benchmarked by the overnight index swap) as a function of market conditions and bank characteristics. These prices depend in particular on the distribution of liquidity across banks, which is calculated over time using individual banklevel data on reserve requirements and actual holdings. Banks pay more for liquidity when positions are more imbalanced across banks, consistent with the existence of short squeezing. We also show that small banks pay more for liquidity and are more vulnerable
to squeezes. Healthier banks pay less but, contrary to what one might expect, banks in formal liquidity networks do not. State guarantees reduce the price of liquidity but do not protect against squeezes.
LIQUIDEZ BANCARIA
ALEMANIA
332.1068
The price of liquidity : bank characteristics and market conditions / [recurso electrónico] Falko Fecht, Kjell G. Nyborg, Jörg Rocholl. - Frankfurt am Main : European Central Bank, 2011 - 54 p. - Working paper series ; no. 1376 .
Bibliografía: p. 48-51.
We study the prices that individual banks pay for liquidity (captured by borrowing rates in repos with the central bank and benchmarked by the overnight index swap) as a function of market conditions and bank characteristics. These prices depend in particular on the distribution of liquidity across banks, which is calculated over time using individual banklevel data on reserve requirements and actual holdings. Banks pay more for liquidity when positions are more imbalanced across banks, consistent with the existence of short squeezing. We also show that small banks pay more for liquidity and are more vulnerable
to squeezes. Healthier banks pay less but, contrary to what one might expect, banks in formal liquidity networks do not. State guarantees reduce the price of liquidity but do not protect against squeezes.
LIQUIDEZ BANCARIA
ALEMANIA
332.1068