Funding liquidity risk: definition and measurement

Kleopatra Nikolaou and Mathias Drehmann

No 1024, Working Paper Series from European Central Bank

Abstract: In this paper we propose definitions of funding liquidity and funding liquidity risk and present a simple, yet intuitive, measure of funding liquidity risk based on data from open market operations. Our empirical analysis uses a unique data set of 135 main refinancing operation auctions conducted at the ECB between June 2005 and December 2007. We find that our proxies for funding liquidity risk are typically stable and low, with occasional spikes, especially during the recent turmoil. We are also able to document downward spirals between funding liquidity risk and market liquidity. JEL Classification: E58, G21

Keywords: bidding data; funding liquidity; interbank markets; liquidity risk; money market auctions (search for similar items in EconPapers)
Date: 2009-03
New Economics Papers: this item is included in nep-mst
Note: 3561872
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Citations: View citations in EconPapers (19)

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Related works:
Working Paper: Funding liquidity risk: definition and measurement (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20091024

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