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)
|Contact details of provider:|| Postal: |
Phone: +420 2 222112330
Fax: +420 2 22112304
Web page: http://ies.fsv.cuni.cz/
More information through EDIRC
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 & Ilya A. Strebulaev, 2003.
"Multiple Unit Auctions and Short Squeezes,"
2003.27, Fondazione Eni Enrico Mattei.
- Heiko Hesse & Nathaniel Frank & Brenda GonzÃ¡lez-Hermosillo, 2008. "Transmission of Liquidity Shocks: Evidence From the 2007 Subprime Crisis," IMF Working Papers 08/200, International Monetary Fund.
- Judit Páles & Lóránt Varga, 2008. "Trends in the liquidity of Hungarian financial markets – What does the MNB’s new liquidity index show?," MNB Bulletin, Magyar Nemzeti Bank (the central bank of Hungary), vol. 3(1), pages 44-51, April.
When requesting a correction, please mention this item's handle: RePEc:fau:fauart:v:59:y:2009:i:6:p:577-592. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lenka Herrmannova)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.