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Stress Tests and Liquidity Crisis in the Banking System

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  • Julian Llorent, Maria del Carmen Melgar, Jose Antonio Ordaz, Flor María Guerrero

    (Universidad Pablo de Olavide, Spain)

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    Abstract

    The paper´s aim is to contribute to the debate on the impact of stress test on banking system liquidity. Due to the theoretical character of the problem, the used methodology is a set of results from research and theoretical works about how the attempts to increase system solvency could lead into a greater lack of liquidity.

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    File URL: http://www.equilibrium.umk.pl/plikidopobrania/2013_2_2_lorent.pdf
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    Bibliographic Info

    Article provided by Uniwersytet Mikolaja Kopernika in its journal Equilibrium. Quarterly Journal of Economics and Economic Policy.

    Volume (Year): 8, Issue 2 (2013)
    Issue (Month): ()
    Pages: 31-43

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    Handle: RePEc:cpn:umkequ:2013:v2:2

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    Web page: http://www.wydawnictwoumk.pl

    Related research

    Keywords: Stress tests; Liquidity; Banking bailouts;

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    1. Acharya, Viral V. & Yorulmazer, Tanju, 2007. "Too many to fail--An analysis of time-inconsistency in bank closure policies," Journal of Financial Intermediation, Elsevier, vol. 16(1), pages 1-31, January.
    2. Ricardo J. Caballero & Arvind Krishnamurthy, 2008. "Collective Risk Management in a Flight to Quality Episode," Journal of Finance, American Finance Association, vol. 63(5), pages 2195-2230, October.
    3. Xavier Freixas, 1999. "Optimal bail out policy, conditionality and constructive ambiguity," Economics Working Papers 400, Department of Economics and Business, Universitat Pompeu Fabra.
    4. Jean Pisani-Ferry & André Sapir, 2010. "Banking crisis management in the EU: an early assessment," Economic Policy, CEPR & CES & MSH, vol. 25, pages 341-373, 04.
    5. Rime, Bertrand, 2001. "Capital requirements and bank behaviour: Empirical evidence for Switzerland," Journal of Banking & Finance, Elsevier, vol. 25(4), pages 789-805, April.
    6. Micossi, Stefano, 2012. "Unholy compromise in the eurozone and how to right it," CEPS Papers 7175, Centre for European Policy Studies.
    7. Chortareas, Georgios E. & Girardone, Claudia & Ventouri, Alexia, 2012. "Bank supervision, regulation, and efficiency: Evidence from the European Union," Journal of Financial Stability, Elsevier, vol. 8(4), pages 292-302.
    8. John Abbink, 2011. "Constructing stress tests," Journal of Risk Finance, Emerald Group Publishing, vol. 12(5), pages 421-434, November.
    9. Jan Willem van den End, 2008. "Liquidity Stress-Tester: A macro model for stress-testing banks' liquidity risk," DNB Working Papers 175, Netherlands Central Bank, Research Department.
    10. Celso Brunetti & Mario di Filippo & Jeffrey H. Harris, 2011. "Effects of Central Bank Intervention on the Interbank Market During the Subprime Crisis," Review of Financial Studies, Society for Financial Studies, vol. 24(6), pages 2053-2083.
    11. David Aikman & Piergiorgio Alessandri & Bruno Eklund & Prasanna Gai & Sujit Kapadia & Elizabeth Martin & Nada Mora & Gabriel Sterne & Matthew Willison, 2009. "Funding Liquidity Risk in a Quantitative Model of Systemic Stability," Working Papers Central Bank of Chile 555, Central Bank of Chile.
    12. Rochet, Jean-Charles, 1992. "Capital requirements and the behaviour of commercial banks," European Economic Review, Elsevier, vol. 36(5), pages 1137-1170, June.
    13. Armen Hovakimian & Edward J. Kane, 2000. "Effectiveness of Capital Regulation at U.S. Commercial Banks, 1985 to 1994," Journal of Finance, American Finance Association, vol. 55(1), pages 451-468, 02.
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