Showing papers on "Funding liquidity published in 2023"
TL;DR: In this paper , the authors employ the Nelson-Siegel model to generate a term structure for interest rates directly from daily bond price quotes in the Turkish market, and take the noise measure, which is the byproduct of term structure estimation, as a proxy for marketwide illiquidity.
TL;DR: In this article , the impact of bank capital, liquidity and funding liquidity on sustainable bank lending in the Middle East and North Africa (MENA) region was analyzed using ESG scoring criteria from 2010-2020.
TL;DR: In this paper , the authors use a unique data set that comprises for each German bank its recourse to the Eurosystem's marginal lending facility (MLF) along with a large variety of detailed bank level data including the daily liquidity position to study the drivers of banks' recourse to LOLR facility for the period January 2004 to October 2010.
Abstract: We use a unique data set that comprises for each German bank its recourse to the Eurosystem’s marginal lending facility (MLF) along with a large variety of detailed bank level data including the daily liquidity position to study the drivers of banks’ recourse to the LOLR facility for the period January 2004 to October 2010. We find that larger banks and banks with lower liquidity buffers and higher idiosyncratic liquidity risks make more frequent and extensive use of the LOLR support. These results not only hold for crises periods and episodes of tight money markets but also for tranquil periods, irrespective of the different monetary policy regimes. Our results have two implications: First, they suggest that riskier banks benefit more from the LOLR-facility, which might affect competition in the financial sector, promoting riskier banks and foster risk-taking behaviour. Second, data on banks’ reserve management can be a useful tool for microprudential supervision to derive high-frequency indicators for predicting liquidity shortages at the individual bank level.
TL;DR: The authors examined how mutual fund investors' demand for liquidity provision endogenously affects stock liquidity in the equity market and found that actively managed funds in the US tend to hold less liquidity than their respective benchmarks, which leads them to rely on only a small fraction of liquid stocks when it comes to liquidity demand.