|
EconStor >
ifo Institut – Leibniz-Institut für Wirtschaftsforschung an der Universität München >
CESifo Working Papers, CESifo Group Munich >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/26621
|
| | |
| Title: | | The price of liquidity: bank characteristics and market conditions  |
| Authors: | | Fecht, Falko Nyborg, Kjell G. Rocholl, Jörg |
| Issue Date: | | 2009 |
| Series/Report no.: | | CESifo working paper 2576 |
| Abstract: | | We study differences in the price paid for liquidity across banks using price data at the individual bank level. Unique to this paper, we also have data on individual banks' reserve requirements and actual reserve holdings, thus allowing us to gauge the extent to which a bank is short or long liquidity. We find that the price a bank pays for liquidity depends on the liquidity positions of other banks, as well as its own. There is evidence that liquidity squeezes occasionally occur and short banks pay more the larger is the potential for a squeeze. The price paid for liquidity is decreasing in bank size and small banks are more adversely affected by an increased potential for a squeeze. Contrary to what one might expect, banks in formal liquidity networks do not pay less. |
| Subjects: | | Liquidity banking squeezes money markets repo auctions |
| JEL: | | G1 G21 E5 D44 |
| Document Type: | | Working Paper |
| Appears in Collections: | | CESifo Working Papers, CESifo Group Munich
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/26621
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|