Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/154024
Authors: 
Neagu, Florian
Mihai, Irina
Year of Publication: 
2013
Series/Report no.: 
ECB Working Paper 1591
Abstract: 
The paper develops a macro-prudential liquidity stress-testing tool in order to capture the possible consequences of a capital outflow (including a run of deposits). The tool includes a feedback from the banking sector to the real economy, incorporates a link between liquidity risk and solvency risk, and is tailored for emerging market features. The stress-testing tool aims to: (i) test the capacity of the banking sector to withstand the sudden stop of capital flows, and to gauge the consequences of the liquidity stress to the solvency ratio; (ii) quantify the liquidity deficit that a central bank should accommodate; (iii) assess the impact on credit supply when the sudden stop occurs; and (iv) support the implementation of an orderly disintermediation process. The macro-prudential tool is applied on the Romanian banking sector.
Subjects: 
banks
emerging markets
macro-prudential tool
stress-testing
systemic liquidity
JEL: 
G21
F32
Document Type: 
Working Paper

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