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Stress Tests and Liquidity Crisis in the Banking System

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

    (Universidad Pablo de Olavide, Spain)

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    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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    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
    Contact details of provider: Web page: http://www.wydawnictwoumk.pl

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    1. Pisani-Ferry, Jean & Sapir, André, 2010. "Banking crisis management in the EU: an early assessment," Economics Papers from University Paris Dauphine 123456789/12379, Paris Dauphine University.
    2. John Abbink, 2011. "Constructing stress tests," Journal of Risk Finance, Emerald Group Publishing, vol. 12(5), pages 421-434, November.
    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. 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.
    5. David Aikman & Piergiorgio Alessandri & Bruno Eklund & Prasanna Gai & Sujit Kapadia, & Elizabeth Martin, & Nada Mora & Gabriel Sterne & Matthew Willison, 2011. "Funding Liquidity Risk in a Quantitative Model of Systemic Stability," Central Banking, Analysis, and Economic Policies Book Series, in: Rodrigo Alfaro (ed.), Financial Stability, Monetary Policy, and Central Banking, edition 1, volume 15, chapter 12, pages 371-410 Central Bank of Chile.
    6. 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.
    7. Viral Acharya & Tanju Yorulmazer, 2007. "Too many to fail - an analysis of time-inconsistency in bank closure policies," Bank of England working papers 319, Bank of England.
    8. 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.
    9. Rochet, Jean-Charles, 1992. "Capital requirements and the behaviour of commercial banks," European Economic Review, Elsevier, vol. 36(5), pages 1137-1170, June.
    10. 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.
    11. Ricardo J. Caballero & Arvind Krishnamurthy, 2007. "Collective Risk Management in a Flight to Quality Episode," NBER Working Papers 12896, National Bureau of Economic Research, Inc.
    12. Micossi, Stefano, 2012. "Unholy compromise in the eurozone and how to right it," CEPS Papers 7175, Centre for European Policy Studies.
    13. Rime, Bertrand, 2001. "Capital requirements and bank behaviour: Empirical evidence for Switzerland," Journal of Banking & Finance, Elsevier, vol. 25(4), pages 789-805, April.
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