Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/179336
Authors: 
Hałaj, Grzegorz
Year of Publication: 
2018
Series/Report no.: 
ECB Working Paper 2121
Abstract: 
Liquidity has its systemic aspect that is frequently neglected in research and risk management applications. We build a model that focuses on systemic aspects of liquidity and its links with solvency conditions accounting for pertinent interactions between market participants in an agent-based modelling fashion. The model is confronted with data from the 2014 EU stress test covering all the major banking groups in the EU. The potential amplification role of asset managers is taken into account in a stylised fashion. In particular, we investigate the importance of the channels through which the funding shock to financial institutions can spread across the financial system.
Subjects: 
liquidity
systemic risk
ABM
JEL: 
G11
G21
C61
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-3226-4
Document Type: 
Working Paper

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