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"
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)
New Economics Papers: this item is included in nep-ban, nep-cba and nep-rmg
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Journal Article: A liquidity risk index as a regulatory tool for systemically important banks? An empirical assessment across two financial crises (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:mod:wcefin:13071
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