EconPapers    
Economics at your fingertips  
 

A liquidity risk index as a regulatory tool for systemically important banks? An empirical assessment across two financial crises

Gianfranco Gianfelice, Giuseppe Marotta () and Costanza Torricelli ()

Applied Economics, 2015, vol. 47, issue 2, 129-147

Abstract: We provide an empirical assessment of the suggestion, based on Severo (2012), to use a systemic liquidity risk index (SLRI) for estimating liquidity premia that could be charged on large banks as a compensation for the implicit liquidity support obtained from public authorities (Blancher et al. , 2013). To this end we compute, over the period January 2004-December 2012, a parsimonious and fully documented SLRI. We also investigate its statistical significance in explaining the level and variability of stock returns for a group of large international banks across the subprime and the Eurozone sovereign debt crises. Main findings are two: our more parsimonious SLRI is close to Severo's but provides a stronger signal of liquidity stress and recovery episodes; we consistently fail to detect, within and across the two crises, a stable group of banks among the global systemically important ones listed by the Financial Stability Board.

Date: 2015
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2014.967379 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: A liquidity risk index as a regulatory tool for systemically important banks? An empirical assessment across two financial crises (2013) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:taf:applec:v:47:y:2015:i:2:p:129-147

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Series data maintained by Michael McNulty ().

 
Page updated 2017-09-08
Handle: RePEc:taf:applec:v:47:y:2015:i:2:p:129-147