EconPapers    
Economics at your fingertips  
 

Kríza likvidity a finančná nákaza v rokoch 20072009: ponaučenie do budúcnosti

Liquidity Crisis and Financial Contagion in 2007-2009: Another Lesson

Miroslav Titze ()

Politická ekonomie, 2017, vol. 2017, issue 6, 690-708

Abstract: The paper explains modern liquidity crisis and financial contagion from shadow banking system to money market in 2007-2009. Liquidity shock was massive due to high connectivity with the quality of underlying (securitized) assets. Thus, the problem of solvency was main driver of the liquidity crisis on the interbank market. Counterparty risk was transmitted to the money market through various channels: direct or indirect exposition to shadow banking, confidence channel, asset price channel and wholesale funding run. The structure of paper is following: first part analyzes financial market infrastructure of shadow banking, wholesale funding (originate-to-distribute) model and ABCP market; the second one describes financial market turmoil and contagion to the money market. Liquidity crisis strongly hit many segments of the money market: unsecured money market, repo market, FX swap market, Eurodollar market. Liquidity crisis was severe due to strong correlation between counterparty risk and liquidity premium as well between funding and market liquidity. Monitoring of the main causes of the liquidity crisis in his early stages is important for the fast reaction by central banks in terms of collateral quality and quantity of the reserve´s supply.

Keywords: liquidity crisis; shadow banking; market and financial liquidity; counterparty risk; confidential crisis; sub-prime mortgage crisis; credit risk; securitization (search for similar items in EconPapers)
JEL-codes: E43 E50 E52 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://polek.vse.cz/doi/10.18267/j.polek.1170.html (text/html)
http://polek.vse.cz/doi/10.18267/j.polek.1170.pdf (application/pdf)
free of charge

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:prg:jnlpol:v:2017:y:2017:i:6:id:1170:p:690-708

Ordering information: This journal article can be ordered from
Redakce Politické ekonomie, Vysoká škola ekonomická, nám. W. Churchilla 4, 130 67 Praha 3
http://polek.vse.cz

DOI: 10.18267/j.polek.1170

Access Statistics for this article

Politická ekonomie is currently edited by Jiřina Bulisová

More articles in Politická ekonomie from Prague University of Economics and Business Contact information at EDIRC.
Bibliographic data for series maintained by Stanislav Vojir ().

 
Page updated 2021-04-12
Handle: RePEc:prg:jnlpol:v:2017:y:2017:i:6:id:1170:p:690-708