Funding liquidity risk: definition and measurement

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ECB Working Paper ; No. 1024

Classification and Topics

• Classification: Wirtschaft ; Central Banks and Their Policies ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages
• Subject: bidding data ; funding liquidity ; Interbank markets ; liquidity risk ; money market auctions ; Geldmarkt ; Zentralbank ; Auktion ; Bankenliquidität ; Risiko ; Marktliquidität ; EU-Staaten

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Drehmann, Mathias ; Nikolaou, Kleopatra
• Event: Veröffentlichung
• (who): European Central Bank (ECB)
• (where): Frankfurt a. M.
• (when): 2009

Further information

• Handle: http://hdl.handle.net/10419/153458
• Last update: 14.03.20252025, 11:43 AM CET