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Czasopismo
2013 | 8 | nr 2 | 31--43
Tytuł artykułu

Stress Tests and Liquidity Crisis in the Banking System

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
The paper´s aim is to contribute to the debate on the impact of stress test on banking system liquidity. Due to the theoretical character of the problem, the used methodology is a set of results from research and theoretical works about how the attempts to increase system solvency could lead into a greater lack of liquidity. (original abstract)
Czasopismo
Rocznik
Tom
8
Numer
Strony
31--43
Opis fizyczny
Twórcy
  • Universidad Pablo de Olavide, Spain
  • Universidad Pablo de Olavide, Spain
  • Universidad Pablo de Olavide, Spain
  • Universidad Pablo de Olavide, Spain
Bibliografia
  • Abbink J.B. (2011), Constructing stress tests, "Journal of Risk Finance", Vol. 12, Issue 5.
  • Acharya V., Yorulmazer T. (2007), Too Many to Fail - An Analysis of Time-Inconsistency in Bank Closure Policies, "Journal of Financial Intermediation", Vol. 16, Issue 1.
  • Aikman D., Alessandri P., Eklund B., Gai P., Kapadia S., Martin E., Mora N., Sterne G., Willison M. (2009), Funding liquidity risk in a quantitative model of systemic stability, June, Bank of England, Working Paper, No. 372.
  • BBC (2011), German bank Helaba to pull out of stress tests, 13 July, BBC News Business.
  • BCBS, Basel Committee on Banking Supervision (2009), Principles for sound stress testing practices and supervision, May, Bank for International Settlements.
  • Blum J. (1999), Do bank capital adequacy requirements reduce risks in banking?, "Journal of Banking and Finance", Vol. 23.
  • Brunetti C., Di Filippo M., Harris J.H. (2011), Effects of Central Bank Intervention on the Interbank Market during the Subprime Crisis, "Review of Financial Studies", Vol. 24, Issue 6.
  • Burke M. (2011), The support given to EU banks is killing the recovery, 17 July, The Guardian.
  • Caballero R.J., Krishnamurthy A. (2008), Collective Risk Management in a Flight to Quality Episode, "Journal of Finance", Vol. LXIII, No. 5.
  • Cardinali A., Nordmark J. (2011), How informative are Bank Stress Tests?: Bank Opacity in the European Union, Master Thesis in Finance, Lund University.
  • Chortareas G., Girardone C., Ventouri A. (2012) Bank supervision, regulation, and efficiency: Evidence from the European Union, "Journal of Financial Stability", Vol. 8, Issue 4.
  • Das S. (2011), The EBA Stress Tests - Not the Real Thing, 26 July, Eurointelligence,
  • Dash E. (2009), If Its Too Big to Fail, Is It Too Big to Exist?, "New York Times", Week in Review, 20 June,
  • Ellsberg D. (1961), Risk, Ambiguity, and the Savage Axioms, "Quarterly Journal of Economics", Vol. 75, No. 4.
  • Elul R. (2008), Liquidity Crises, "Business Review", Q2.
  • European Banking Authority (EBA) (2011), Eu-Wide Stress Test Aggregate Report, 15 July.
  • Financial Stability Board (2011), Policy Measures to Address Systemically Important Financial Institutions, 04 November.
  • Finch G., Martinuzzi E., Penty C. (2011), EU Bank Stress Tests Missing Sovereign Defaults Fail to Convince Analysts, 18 July, Bloomberg.
  • Freixas X. (1999), Optimal bailout policy, conditionality and constructive ambiguity, 15 December, Financial Market Group Discussion Paper 237, London School of Economics.
  • Goodhart C., Huang H. (2000), A Simple Model of an International Lender of Last Resort, "Economic Notes", Vol. 29, Issue 1.
  • Gorton, G. and Winton, A. (1995). Bank capital regulation in general equilibrium. Wharton Financial Institutions Centre, Working Paper.
  • Holmstrom B., Tirole J. (1998), Private and Public Supply of Liquidity, "Journal of Political Economy", Vol. 106, No 1.
  • Hovakimian A., Kane E.J. (2000), Effectiveness of capital regulation at U.S. commercial banks, 1985 to 1994. " Journal of Finance" Vol. 55.
  • Micossi S. (2012), Unholy compromise in the eurozone and how to right it, July, CEPS, No. 277.
  • Moulton H.G. (1918a), Commercial Banking and Capital Formation: I, "Journal of Political Economy", Vol. 26, No. 5.
  • Moulton H.G. (1918b), Commercial Banking and Capital Formation: II, "Journal of Political Economy", Vol. 26, No. 6.
  • Moulton H.G. (1918c), Commercial Banking and Capital Formation: III, "Journal of Political Economy", Vol. 26, No. 7.
  • Petrella G., Resti A. (2012), Supervisors as Information Producers: Do Stress Tests Reduce Bank Opaqueness?, June, 2nd International Conference of the Financial Engineering and Banking Society (F.E.B.S): Recent Developments in Financial Markets and Banking, London.
  • Pisani-Ferry, J., Sapir A. (2010), Banking crisis management in the EU: an early assessment, "Economic Policy", Issue 62.
  • Regling K., Watson M. (2010), A Preliminary Report on The Sources of Irelands Banking Crisis, May, Preliminary Report, Commission of Investigation into the Banking Sector in Ireland.
  • Rime B. (2001), Capital Requirements and Bank Behaviour: Empirical Evidence for Switzerland, "Journal of Banking and Finance", Vol. 25, Issue 4.
  • Rochet J. (1992), Capital requirements and the behavior of commercial banks, "European Economic Review", Vol. 36, Issue 5.
  • Saraiva C., Biggadike O. (2010), Euro Falls as Stress Test Results Fail to Alleviate Banking Risk Concern, 24 July.
  • Summers B. (1975), Loan commitments to business in United States banking history, "Economic Review", Federal Reserve Bank of Richmond.
  • The Financial Times (2011), Not that stressful, 17 July, The Financial Times.
  • Van den End J.W. (2010), Liquidity Stress-Tester: A Model for Stress-testing Banks Liquidity Risk, CESifo Economic Studies, Vol. 56, Issue 1.
  • Van den End W.A. (2011), Credit and liquidity risk of banks in stress conditions: Analyses from a macro perspective, October, Ph.D. Thesis, University of Groningen.
  • Wilson H. (2011), European Banking Authority was hobbled over stress tests, 17 July, The Telegraph.
Typ dokumentu
Bibliografia
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Identyfikator YADDA
bwmeta1.element.ekon-element-000171250377

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