Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/193593
Authors: 
Ferrara, Gerardo
Langfield, Sam
Liu, Zijun
Ota, Tomohiro
Year of Publication: 
2018
Series/Report no.: 
ESRB Working Paper Series 86
Abstract: 
We study systemic illiquidity using a unique dataset on banks' daily cash flows, short-term interbank funding and liquid asset buffers. Failure to roll-over short-term funding or repay obligations when they fall due generates an externality in the form of systemic illiquidity. We simulate a model in which systemic illiquidity propagates in the interbank funding network over multiple days. In this setting, systemic illiquidity is minimised by a macroprudential policy that skews the distribution of liquid assets towards banks that are important in the network.
Subjects: 
Systemic risk
liquidity regulation
macroprudential policy
JEL: 
D85
E44
E58
G28
Persistent Identifier of the first edition: 
ISBN: 
978-92-9472-054-2
Document Type: 
Working Paper

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