Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance /
I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several asset classes between 2004 and 2010. Then I test whether the equity returns of 53 global banks were exposed to this liquidity risk factor. Results show that the level of bank returns...
| मुख्य लेखक: | |
|---|---|
| स्वरूप: | पत्रिका |
| भाषा: | English |
| प्रकाशित: |
Washington, D.C. :
International Monetary Fund,
2012.
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| श्रृंखला: | IMF Working Papers; Working Paper ;
No. 2012/194 |
| ऑनलाइन पहुंच: | Full text available on IMF |