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Systemic liquidity concept, measurement and macroprudential instruments

Author

Listed:
  • Bonner, Clemens
  • Wedow, Michael
  • Budnik, Katarzyna
  • Koban, Anne
  • Kok, Christoffer
  • Laliotis, Dimitrios
  • Meller, Barbara
  • Melo, Ana Sofia
  • Moldovan, Iulia
  • Schmitz, Stefan
  • Couaillier, Cyril
  • Duijm, Patty
  • Faykiss, Peter
  • Gajewski, Krzysztof
  • Izquierdo Rios, Laura
  • Lamas, Matías
  • Lialiouti, Georgia
  • Loehe, Sebastian
  • Matos, Joana
  • Morão, Alexandra
  • Pereira, Ana
  • Pessarossi, Pierre
  • Ponte Marques, Aurea
  • Roling, Christoph
  • Rutkauskas, Virgilijus
  • Silbermann, Leonid
  • Szakacs, Janos
  • Tissari, Päivi
  • Ubl, Eva
  • Di Virgilio, Domenica
  • Vlachogiannakis, Nikolaos
  • Holtorf, Claudia

Abstract

This study provides a conceptual and monitoring framework for systemic liquidity, as well as a legal assessment of the possible use of macroprudential liquidity tools in the European Union. It complements previous work on liquidity and focuses on the development of liquidity risk at the system-wide level. A dashboard with a total of 20 indicators is developed for the financial system, including banks and non-banks, to assess the build-up of systemic liquidity risk over time. In addition to examining liquidity risks, this study sheds light on the legal basis for additional macroprudential liquidity tools under existing regulation (Article 458 of the Capital Requirements Regulation (CRR), Articles 105 and 103 of the Capital Requirements Directive (CRD IV) and national law), which is a key condition for the implementation of macroprudential liquidity tools.

Suggested Citation

  • Bonner, Clemens & Wedow, Michael & Budnik, Katarzyna & Koban, Anne & Kok, Christoffer & Laliotis, Dimitrios & Meller, Barbara & Melo, Ana Sofia & Moldovan, Iulia & Schmitz, Stefan & Couaillier, Cyril , 2018. "Systemic liquidity concept, measurement and macroprudential instruments," Occasional Paper Series 214, European Central Bank.
    • Handle: RePEc:ecb:ecbops:2018214
    Note: 406092
    as

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    References listed on IDEAS

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