Liquidity Risk and Banks’ Bidding Behavior: Evidence from the Global Financial Crisis
Even in countries that were not directly hit by the global financial crisis and where the banking system had a relatively strong liquidity position, there has been a negative spiral between the market and funding liquidity. The authors illustrate this on a case study of the Czech banking system. They construct indices of market and funding liquidity using daily market data, including data on banks’ bidding behavior in repo operations of the Czech National Bank. They find some evidence of a negative feedback effect between market and funding liquidity, especially after the collapse of Lehman Brothers in September 2008.
Volume (Year): 59 (2009)
Issue (Month): 6 (December)
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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Kjell G. Nyborg, 2004.
"Multiple Unit Auctions and Short Squeezes,"
Review of Financial Studies,
Society for Financial Studies, vol. 17(2), pages 545-580.
- Kjell G. Nyborg & Ilya A. Strebulaev, 2003. "Multiple Unit Auctions and Short Squeezes," Working Papers 2003.27, Fondazione Eni Enrico Mattei.
- Judit Páles & Lóránt Varga, 2008. "Trends in the liquidity of Hungarian financial markets – What does the MNB’s new liquidity index show?," MNB Bulletin (discontinued), Magyar Nemzeti Bank (Central Bank of Hungary), vol. 3(1), pages 44-51, April.
- Heiko Hesse & Nathaniel Frank & Brenda Gonzalez-Hermosillo, 2008. "Transmission of Liquidity Shocks; Evidence from the 2007 Subprime Crisis," IMF Working Papers 08/200, International Monetary Fund. Full references (including those not matched with items on IDEAS)
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