Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153458
Authors: 
Drehmann, Mathias
Nikolaou, Kleopatra
Year of Publication: 
2009
Series/Report no.: 
ECB Working Paper 1024
Abstract: 
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.
Subjects: 
bidding data
funding liquidity
Interbank markets
liquidity risk
money market auctions
JEL: 
E58
G21
Document Type: 
Working Paper

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