Systemic liquidity concept, measurement and macroprudential instruments

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; Marques, Aurea; Roling, Christoph; Rutkauskas, Virgilijus; Silbermann, Leonid; Szakacs, Janos; Tissari, Päivi; Ubl, Eva; Di Virgilio, Domenica; Vlachogiannakis, Nikolaos; Holtorf, Claudia

Systemic liquidity concept, measurement and macroprudential instruments

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

No 214, Occasional Paper Series from European Central Bank

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.

Date: 2018-10
New Economics Papers: this item is included in nep-ban, nep-cba and nep-eec
Note: 406092
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbops:2018214

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