Liquidity Risk and Banks’ Bidding Behavior: Evidence from the Global Financial Crisis

Adam Gersl and Zlatuse Komarkova ()

Czech Journal of Economics and Finance (Finance a uver), 2009, vol. 59, issue 6, 577-592

Abstract: Even in countries that were not directly hit by the global financial crisis and where the banking system had a relatively strong liquidity position, there has been a negative spiral between the market and funding liquidity. The authors illustrate this on a case study of the Czech banking system. They construct indices of market and funding liquidity using daily market data, including data on banks’ bidding behavior in repo operations of the Czech National Bank. They find some evidence of a negative feedback effect between market and funding liquidity, especially after the collapse of Lehman Brothers in September 2008.

Keywords: funding liquidity; market liquidity; global financial crisis (search for similar items in EconPapers)
JEL-codes: E58 G21 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:fau:fauart:v:59:y:2009:i:6:p:577-592

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