Basel III liquidity risk measures

E’ disponibile il paper di H.Hong, J.Huang, D.Wu “The Information Content of Basel III Liquidity Risk Measures”, ottobre 2013.
Pubblichiamo, di seguito, l’abstract degli stessi autori.
The Basel III liquidity coverage ratio (LCR) is measure of asset liquidity, and the net stable funding ratio (NSFR) in a measure of funding stability. We find the probability of failure of U.S. commercial banks is negatively correlated with the NSFR, while it is positively correlated with the LCR. The positive correlation between bank failure and the LCR highlights the negative externality of liquidity hoarding. Both the NSFR and the LCR have limited effetcs on bank failures. In contrast, the systemic funding liquidity risk was a major contributor of bank failures in 2009 and 2010. We also shed light on the assumption on net cash outflow rates in the new liquidity standards.
In allegato il documento completo.