A liquidity risk index as a regulatory tool for systemically important banks? An empirical assessment across two financial crises
Gianfranco Gianfelice (),
Giuseppe Marotta and
Costanza Torricelli
Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) from Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi"
Abstract:
We provide an assessment of the IMF suggestion, based on Severo (2012), to use an index of systemic liquidity risk (SLRI) that could help to estimate a Pigouvian tax on large banks for the externality on the international banking system out of their risk exposure. To this end we compute a parsimonious and fully documented SLRI and investigate its statistical significance in explaining level and variability of stock returns for a group of large international banks during the subprime financial and the Eurozone sovereign debt crises. The empirical investigation consistently fails to detect, within and across the two crises, a core group among the systemically important banks listed by the Financial Stability Board and thus supports a sceptical assessment of the proposal.
Keywords: subprime crisis; Eurozone sovereign crisis; systemic risk; banks’ stock returns; macroprudential regulation (search for similar items in EconPapers)
JEL-codes: C58 G01 G12 G13 (search for similar items in EconPapers)
Pages: pages 26
Date: 2013-07
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (28)
Downloads: (external link)
http://155.185.68.2/CefinPaper/CEFIN-WP38.pdf (application/pdf)
Related works:
Journal Article: A liquidity risk index as a regulatory tool for systemically important banks? An empirical assessment across two financial crises (2015) 
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:mod:wcefin:0038
Access Statistics for this paper
More papers in Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) from Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" Contact information at EDIRC.
Bibliographic data for series maintained by Giuseppe Marotta ().