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- W2954280145 abstract "This paper analyzes systemic liquidity risk by assessing the behavior of aggregate banking variables and policies related to the management of liquid assets. The basic premise is that liquidity is not only related to the ability to meet interbank debt obligations, but also the availability of sufficient liquid assets to cover other short-term liabilities, such as those arising from commercial banks interaction with the central bank. To measure liquidity risk, we use the contingent claims approach of Merton (1974) and Gray, and Malone (2008). Data produced by the model (probability of default) explains and improves prediction of the amounts and interest rates negotiated in the interbank market. In the case of Venezuela, given the importance of fiscal expenditure in the primary creation of money, fiscally induced monetary expansion tends to reduce the likelihood of illiquidity events. Meanwhile, an increase in reserve requirements increases the probability of default by raising banks’ short-term liabilities." @default.
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- W2954280145 date "2017-01-01" @default.
- W2954280145 modified "2023-09-24" @default.
- W2954280145 title "A Systemic Measure of Liquidity Risk" @default.
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