| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7794 |
| DP7794 The Price of Liquidity: Bank Characteristics and Market Conditions | |
| Kjell Nyborg; Falko Fecht; Joerg Rocholl | |
| 发表日期 | 2010-04-23 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | We identify frictions in the market for liquidity as well as bank-specific and market-wide factors that affect the prices that banks pay for liquidity, captured here by borrowing rates in repos with the central bank and benchmarked by the overnight index swap. We have price data at the individual bank level and, unique to this paper, data on individual banks? reserve requirements and actual reserve holdings, thus allowing us to gauge the extent to which a bank is short or long liquidity. We find that the price a bank pays for liquidity depends on the liquidity positions of other banks, as well as its own. There is evidence that liquidity squeezes occasionally occur and short banks pay more the larger is the potential for a squeeze. The price paid for liquidity is decreasing in bank size and small banks are more adversely affected by an increased potential for a squeeze. Healthier banks pay less, but contrary to what one might expect, banks in formal liquidity networks do not. |
| 主题 | Financial Economics |
| 关键词 | Banks Liquidity Money markets Repos Short squeezing Financial health |
| URL | https://cepr.org/publications/dp7794 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536630 |
| 推荐引用方式 GB/T 7714 | Kjell Nyborg,Falko Fecht,Joerg Rocholl. DP7794 The Price of Liquidity: Bank Characteristics and Market Conditions. 2010. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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