Arbeitspapier
Funding liquidity risk: definition and measurement
In this paper we propose definitions of funding liquidity and funding liquidity risk and present a simple, yet intuitive, measure of funding liquidity risk based on data from open market operations. Our empirical analysis uses a unique data set of 135 main refinancing operation auctions conducted at the ECB between June 2005 and December 2007. We find that our proxies for funding liquidity risk are typically stable and low, with occasional spikes, especially during the recent turmoil. We are also able to document downward spirals between funding liquidity risk and market liquidity.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 1024
- Klassifikation
-
Wirtschaft
Central Banks and Their Policies
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
- Thema
-
bidding data
funding liquidity
Interbank markets
liquidity risk
money market auctions
Geldmarkt
Zentralbank
Auktion
Bankenliquidität
Risiko
Marktliquidität
EU-Staaten
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Drehmann, Mathias
Nikolaou, Kleopatra
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Drehmann, Mathias
- Nikolaou, Kleopatra
- European Central Bank (ECB)
Entstanden
- 2009
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