Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance (Record no. 165301)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 02581nam a22004094a 4500 |
| 001 - CONTROL NUMBER | |
| control field | WPIEA2012194 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | IMF |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20190408082027.0 |
| 006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS--GENERAL INFORMATION | |
| fixed length control field | m o d |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
| fixed length control field | cr cn||||||||| |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 020129s2012 dcu o i00 0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 1475505434 : |
| Terms of availability | 18.00 USD |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| Cancelled/invalid ISBN | 9781475505436 |
| 022 ## - INTERNATIONAL STANDARD SERIAL NUMBER | |
| International Standard Serial Number | 1018-5941 |
| 024 7# - OTHER STANDARD IDENTIFIER | |
| Standard number or code | 10.5089/9781475505436.001 |
| Source of number or code | doi |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (IMF)WPIEA2012194 |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | DcWaIMF |
| Language of cataloging | eng |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Severo, Tiago. |
| 245 10 - TITLE STATEMENT | |
| Title | Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance |
| Medium | [electronic resource] / |
| Statement of responsibility, etc | Tiago Severo. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
| Place of publication, distribution, etc | Washington, D.C. : |
| Name of publisher, distributor, etc | International Monetary Fund, |
| Date of publication, distribution, etc | 2012. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 1 online resource (35 p.) |
| 490 1# - SERIES STATEMENT | |
| Series statement | IMF Working Papers; Working Paper ; |
| Volume number/sequential designation | No. 12/194 |
| 520 3# - SUMMARY, ETC. | |
| Summary, etc | I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several asset classes between 2004 and 2010. Then I test whether the equity returns of 53 global banks were exposed to this liquidity risk factor. Results show that the level of bank returns is not directly affected by the SLRI, but their volatility increases when liquidity conditions deteriorate. I do not find a strong association between bank size and exposure to the SLRI - measured as the sensitivity of volatility to the index. Surprisingly, exposure to systemic liquidity risk is positively associated with the Net Stable Funding Ratio (NSFR). The link between equity volatility and the SLRI allows me to calculate the cost that would be borne by public authorities for providing liquidity support to the financial sector. I use this information to estimate a liquidity insurance premium that could be paid by individual banks in order to cover for that social cost. |
| 588 ## - SOURCE OF DESCRIPTION NOTE | |
| Source of description note | Description based on print version record. |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Bank Assets |
| Source of heading or term | imf |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Banking |
| Source of heading or term | imf |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Bond |
| Source of heading or term | imf |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Econometric Modeling |
| Source of heading or term | imf |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | General Financial Markets |
| Source of heading or term | imf |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Insurance Premium |
| Source of heading or term | imf |
| 651 #7 - SUBJECT ADDED ENTRY--GEOGRAPHIC NAME | |
| Geographic name | Australia |
| Source of heading or term | imf |
| 651 #7 - SUBJECT ADDED ENTRY--GEOGRAPHIC NAME | |
| Geographic name | Japan |
| Source of heading or term | imf |
| 651 #7 - SUBJECT ADDED ENTRY--GEOGRAPHIC NAME | |
| Geographic name | United Kingdom |
| Source of heading or term | imf |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Display text | Print Version: |
| Main entry heading | Severo, Tiago. |
| Title | Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance |
| Place, publisher, and date of publication | Washington, D.C. : International Monetary Fund, 2012. |
| International Standard Book Number | 9781475505436 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | IMF Working Papers; Working Paper ; |
| Volume number/sequential designation | No. 12/194 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="http://elibrary.imf.org/view/IMF001/12994-9781475505436/12994-9781475505436/12994-9781475505436.xml">http://elibrary.imf.org/view/IMF001/12994-9781475505436/12994-9781475505436/12994-9781475505436.xml</a> |
| Public note | IMF e-Library |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="http://www.imfbookstore.org/IMFORG/9781475505436">http://www.imfbookstore.org/IMFORG/9781475505436</a> |
| Public note | IMF Book Store |
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