Liquidity in resolution: estimating possible liquidity gaps for specific banks in resolution and in a systemic crisis

Laura Parisi, Dimitrios Chalamandaris, Raschid Amamou, Pär Torstensson and Andreas Baumann

No 250, Occasional Paper Series from European Central Bank

Abstract: This paper contributes to the debate on liquidity in resolution by providing a quantitative assessment of liquidity gaps of banks in resolution in the euro area. It estimates possible ranges of liquidity gaps for significant banks under different assumptions and scenarios. The findings suggest that, while the average liquidity gaps in resolution are limited, the averages hide significant outliers. The paper thus shows that, under adverse circumstances, the instruments currently available to provide liquidity support to financial institutions in the euro area would be insufficient JEL Classification: G01, G21, G28, G33, C63

Keywords: bank runs; contagion; Liquidity; Monte Carlo simulations; resolution; systemic crisis (search for similar items in EconPapers)
Date: 2020-11
New Economics Papers: this item is included in nep-ban, nep-cba, nep-cmp, nep-eec and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbops:2020250

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