Liquidity Mismatch, Bank Borrowing Decision and Distress: Empirical Evidence from Italian Credit Co-Operative Banks

Gianfranco Vento, Andrea Pezzotta and Stefano Colli
Additional contact information
Gianfranco Vento: Guglielmo Marconi University in Rome
Andrea Pezzotta: Federcasse
Stefano Colli: Federcasse

Chapter 10 in Liquidity Risk, Efficiency and New Bank Business Models, 2016, pp 273-299 from Palgrave Macmillan

Abstract: Abstract Since the 2007–2008 financial crisis liquidity risk has become one of the top priorities for regulators and new liquidity requirements have been introduced. Despite the importance of liquidity risk and the progress in addressing it there is no consensus about how to measure it and how to do so in a such a way as to provide information about (endogenous) systemic liquidity risk. This work aims to implement the “Liquidity Mismatch Index” proposed by Brunnermeier et al. (2011) to measure the mismatch between market liquidity of assets and the funding liabilities, using a sample of Italian co-operative banks. It investigates the main determinants of this mismatch, how it correlates with other bank characteristics and whether it provides useful information about borrowing decisions and distress of banks.

Keywords: European Central Bank; Liquidity Risk; Market Liquidity; Liquidity Premia; Illiquid Asset (search for similar items in EconPapers)
Date: 2016
References: Add references at CitEc
Citations: View citations in EconPapers (2)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
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: https://EconPapers.repec.org/RePEc:pal:pmschp:978-3-319-30819-7_10

Ordering information: This item can be ordered from
http://www.palgrave.com/9783319308197

DOI: 10.1007/978-3-319-30819-7_10

Access Statistics for this chapter

More chapters in Palgrave Macmillan Studies in Banking and Financial Institutions from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().