English, Article, Journal or magazine article edition: Funding Liquidity Risk: Definition and Measurement. Mathias Drehmann; Kleopatra Nikolaou

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Bookmark: http://trove.nla.gov.au/version/211597
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Funding Liquidity Risk: Definition and Measurement.
Author
  • Mathias Drehmann
  • Kleopatra Nikolaou
Physical Description
  • preprint
Notes
  • 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.
  • funding liquidity, liquidity risk, bidding data, money market auctions, interbank markets.
  • RePEc:ecb:ecbwps:200901024
Language
  • English
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