Browsing by Subject "likviditeetti"

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  • Järvenpää, Maija (2018)
    Euro & talous. Analyysi
    Yksi pankkien keskeisistä tehtävistä on maturiteettitransformaatio eli pitkäaikaisten lainojen rahoittaminen lyhytaikaisilla talletuksilla ja markkinavarainhankinnalla. Maturiteettitransformaation kääntöpuoli on siitä aiheutuva likviditeettiriski eli riski pankin kyvyttömyydestä rahoittaa toiminta ja selvitä maksuvelvoitteistaan ilman merkittäviä tappioita. Rahoitusvakautta uhkaava, systeeminen likviditeettiriski taas realisoituu, kun likviditeettiongelmat koskevat useaa pankkia samanaikaisesti (IMF, 2011). Kymmenen vuotta sitten Lehman Brothers -investointipankin kaatumisen myötä käynnistynyt globaali finanssikriisi on varoittava esimerkki systeemisen likviditeettiriskin realisoitumisesta.
  • Manninen, Otso (2017)
    Euro & talous. Blogi
    Talletukset, osakkeet ja pankkien tarjoamien rahastojen osuudet ovat likvidejä sijoituskohteita, mutta asuntokauppa on konkreettinen esimerkki epälikvidimmistä markkinoista.
  • Fungáčová, Zuzana; Weill, Laurent; Zhou, Mingming (2010)
    BOFIT Discussion Papers 17/2010
    Published in Journal of Financial Services Research, 51(1), 2017: 97-123
    This paper examines how the introduction of deposit insurance influences the relationship between bank cap-ital and liquidity creation. As discussed by Berger and Bouwman (2009), there are two competing hypothes-es on this relationship which can be influenced by the presence of deposit insurance. The introduction of a deposit insurance scheme in an emerging market, Russia, provides a natural experiment to investigate this issue. We study three alternative measures of bank liquidity creation and perform estimations on a large set of Russian banks. Our findings suggest that the introduction of the deposit insurance scheme exerts a limited impact on the relationship between bank capital and liquidity creation and does not change the negative sign of the relationship. The implication is that better capitalized banks tend to create less liquidity, which sup-ports the "financial fragility/crowding-out" hypothesis. This conclusion has important policy implications for emerging countries as it suggests that bank capital requirements implemented to support financial stability may harm liquidity creation. JEL classification: G21; G28; G38; P30; P50 Keywords: Bank capital, liquidity creation, deposit insurance, Russia
  • Fungáčová, Zuzana; Weill, Laurent; Zhou, Mingming (2017)
    Journal of Financial Services Research 1
    Published in BOFIT Discussion Papers 17/2010.
    This paper examines how the introduction of deposit insurance influences the relationship between bank capital and liquidity creation.
  • Topi, Jukka (2008)
    Bank of Finland Research Discussion Papers 12/2008
    In this paper, I develop a model that addresses the links between banks liquidity outlook and their incentives to take credit risk. Assuming that both bank-specific liquidity shocks and credit losses are necessary to provoke bank runs, the model predicts that a bank s incentives to mitigate its credit risk by screening decrease if the probability of a bank-specific liquidity shock declines. This suggests that the benign liquidity outlook prevailing prior to the subprime crisis may have contributed to the lack of screening by banks that has been an important causal factor in the crisis.
  • Välimäki, Tuomas (2002)
    Suomen Pankin keskustelualoitteita; Bank of Finland. Discussion papers 1/2002
    This paper presents a model of the optimal bidding behaviour of a single bank in the context of fixed rate liquidity tenders.Banks' bidding is shown to depend crucially on the central bank's liquidity policy as regards tender allotments.The paper also analyses ECB liquidity policy in terms of the model.The ECB, while applying fixed rate tenders, appears to have been attempting stabilise the market interest rate at a level close to the main refinancing rate.However, this aim was at least partially overridden by that of stabilising total money market liquidity over the course of the reserve maintenance period - even more so when banks were expecting the ECB to raise the main refinancing rate in the near future.The banks' aggregate bids increased considerably during the period of fixed rate tenders.This was seen to result mainly from profit opportunities associated with a positive spread between market interest rate and main refinancing rate.The positive spread resulted from the combination of expectations of an interest rate hike and liquidity-oriented allotment policy.Key words: bidding, money market tenders, liquidity policy, central bank operating framework
  • Ollikka, Kimmo; Tukiainen, Janne (2013)
    Bank of Finland Research Discussion Papers 21/2013
    We study whether the mechanism design in the central bank liquidity auctions matters for the interbank money market interest rate levels and volatility. Furthermore, we compare different mechanisms to sell liquidity in terms of revenue, efficiency and auction stage interest rate levels and volatility. Most importantly, we ask which mechanism is the best at implementing the target policy interest rates to the interbank market and what are the trade-offs involved. We construct a relatively general model of strategic bidding with interdependent valuations, and combine it with a stylized model of the interbank market. The novel feature of the model is that the expectations of the interbank market outcomes determine the valuations in the liquidity auctions. The model captures the relevant features of how the European Central Bank sells liquidity. We use simulations to compare discriminatory price, uniform price and Vickrey auctions to a posted price mechanism with full allotment. In order to analyze interactions between the primary and the secondary market under four different mechanisms, we need to make a lot of assumptions and simplifications. Given this caveat, we find that posted prices with full allotment is clearly the superior alternative in terms of implementing the policy interest rate to the interbank markets. This comes at the cost of less revenue compared to the revenue maximizing discriminatory price auction, but surprisingly, will not result in efficiency losses compared even to the Vickrey auction. Keywords: ECB liquidity auctions, Interbank markets, Mechanism design, Multi-unit auctions, Monetary policy, Posted-Prices. JEL: C63, C72, D02, D44, D47, D53, E43, E44, E52, E58, G21.
  • Pikkarainen, Pentti (2010)
    Bank of Finland Research Discussion Papers 20/2010
    The paper concentrates on illustrating and assessing central banks liquidity operations during the crisis that started in August 2007. In addition to the ECB, the central banks of Sweden, Switzerland, the United Kingdom, Australia, Japan, Canada and the United States are analyzed. During the crisis the liquidity operations of central banks have converged. In many cases, central bank balance sheets have undergone extremely strong growth. The actions by central banks raise a number of questions concerning exit from the measures taken, the impact of the measures, central banks risks and their governance structure
  • Välimäki, Tuomas (2003)
    Suomen Pankki. E 26
    Most OECD central banks implement monetary policy by supplying reserves to the banking sector with the aim of influencing short-term interbank interest rates.To interpret the monetary policy stance accurately, one needs to be familiar with the mechanism for determining the money market equilibrium.The aim of this study is to deepen our understanding of the various effects of different intervention styles on the short-term money market when monetary policy is implemented with an operational framework similar to that of the European Central Bank (ECB).In the first essay of this study, we model banks' demand for central bank reserves (liquidity) for each day of an n-day reserve maintenance period and analyse liquidity determination under alternative liquidity policy rules that a central bank might apply in fixed rate tenders.It is shown that there is a tradeoff between the central bank's ability to keep a market interest rate close to the tender rate and the stability of liquidity holdings within a maintenance period.The second essay presents a model of a single bank's optimal bidding in the context of fixed rate liquidity tenders.It is shown that banks' bidding crucially depends on the central bank's liquidity policy for tender allotments. This essay also analyses ECB liquidity policy in terms of the model.The final essay models the money market equilibrium and analyses Banks' bidding when the central bank uses variable rate tenders.The liquidity supply is fully endogenised by having the central bank minimise a loss function the includes deviations-from-target of interest rate and liquidity.ECB experiences with variable rate tenders are also studied in this essay. Key words: central bank operational framework, short-term interest rates, money markets, tenders, liquidity policy, bidding.
  • Ma, Guonan; Xiandong, Yan; Xi, Liu (2011)
    BOFIT Discussion Papers 30/2011
    Published in Journal of Chinese Economic and Business Studies, Volume 11, Issue 2, 2013: 117-137.
    This paper examines the evolving role of reserve requirements as a policy tool in China. Since 2007, the Chinese central bank (PBC) has relied more on this tool to withdraw domestic liquidity surpluses, as a cheaper substitute for open-market operation instruments in this period of rapid FX accumulation. China's reserve requirement system has also become more complex and been used to address a range of other policy objectives, not least being macroeconomic management, financial stability and credit policy. The preference for using reserve requirements reflects the size of China's FX sterilisation task and the associated cost considerations, a quantity-oriented monetary policy framework challenged to reconcile policy dilemmas and tactical considerations. The PBC often finds it easier to reach consensus over reserve requirement decisions than interest rate decisions and enjoys greater discretion in applying this tool. The monetary effects of reserve requirements need to be explored in conjunction with other policy actions and not in isolation. Depending on the policy mix, higher reserve requirements tend to signal a tightening bias, to squeeze excess reserves of banks, to push market interest rates higher, and to help widen net interest spreads, thus tightening domestic monetary conditions. There are, however, costs to using this policy tool, as it imposes a tax burden on Chinese banks that in turn appear to have passed a significant portion of this cost onto their customers, mostly depositors and SMEs. However, the pass-through onto bank customers appears to be partial. JEL: E40, E50, E52, E58, E60, H22 Keywords: reserve requirements, sterilisation tools, monetary policy, net interest margin and spread, tax incidence, Chinese economy
  • Laine, Tatu; Nummelin, Tuomas; Snellman, Heli (2011)
    Bank of Finland Research Discussion Papers 23/2011
    This study utilises payment system data to analyse market participants liquidity usage and to trace interest rates paid on overnight loans. Our aim is to examine how liquidity usage has changed during the years 2006 2/2011 and to combine this information with data on overnight lending rates between market participants. It turns out that the Furfine algorithm used in the analysis produces overnight interest rates that correlate very closely with the EONIA curve. Based on Finnish payment system data, we identify four separate time periods: normal, start of turmoil, acute crisis and stabilizing period. The results show that, during the acute crisis period, TARGET2 participants holding an account with the Bank of Finland paid, on average, lower overnight interest rates than other banks in the euro area. However, the results reveal there has been some lack of confidence between Finnish participants since the onset of the financial crisis. A new indicator the Grid which we present here shows this very clearly. We suggest that this new indicator could be a highly useful tool for overseers in supporting financial stability analysis.
  • Poutanen, Lauri (2019)
    Finanssivalvonta. Blogi 3/2019
    Europaparlamentet godkände den 16 april 2019 ett omfattande lagstiftningspaket som innehåller reviderade regler om kapitalkrav (CRD 5 och CRR 2) och resolution av banker (BRRD 2 och SRMR 2). Paketet tar med sådana element från de internationella Basel III-standarderna som ännu saknas i EU-lagstiftningen. EU siktar på att publicera paketet i dess helhet i Europeiska unionens officiella tidning i början av sommaren 2019.
  • Davydov, Denis; Fungáčová, Zuzana; Weill, Laurent (2017)
    BOFIT Discussion Papers 5/2017
    Published in Journal of International Financial Markets, Institutions & Money, 55, July, 2018, 81–93
    This paper investigates the cyclicality of bank liquidity creation. Since liquidity creation is a major economic function of banks, their liquidity creation behavior may amplify business cycle fluctuations. Using the methodology of Berger and Bouwman (2009) to compute liquidity creation measures, we analyze the relation between GDP growth and liquidity creation of Russian banks from 2004 to 2015. Detailed quarterly data on a very large sample of banks and coexistence of different bank ownership types (state-owned, domestic private and foreign banks), makes Russia an ideal natural laboratory for study of cyclicality of liquidity creation for banks. We find that liquidity creation of banks is procyclical. We show that the liquidity creation behavior of state-owned banks and foreign banks is similar to that of domestic private banks in terms of procyclicality. We further find that the magnitude of procyclicality is higher for liquidity creation than for lending. Thus, while ownership of banks does not influence the liquidity creation behavior of banks, such behavior can amplify business cycle fluctuations.
  • Davydov, Denis; Fungáčová, Zuzana; Weill, Laurent (2018)
    Journal of International Financial Markets, Institutions and Money July ; 2018
    This paper investigates the cyclicality of bank liquidity creation. Since liquidity creation is a major economic function of banks, their liquidity creation behavior may amplify business cycle fluctuations. Using the methodology of Berger and Bouwman (2009) to compute liquidity creation measures, we analyze the relation between GDP growth and liquidity creation of Russian banks from 2004 to 2015. Detailed quarterly data on a very large sample of banks and coexistence of different bank ownership types (state-owned, domestic private and foreign banks), makes Russia an ideal natural laboratory for study of cyclicality of liquidity creation for banks. We find that liquidity creation of banks is procyclical. We show that the liquidity creation behavior of state-owned banks and foreign-owned banks is similar to that of domestic private banks in terms of procyclicality. We further find that the magnitude of procyclicality is higher for liquidity creation than for lending. Thus, while ownership of banks does not influence the cyclicality of bank liquidity creation, liquidity creation behavior of banks can amplify business cycle fluctuations.
  • Mäkinen, Mikko; Solanko, Laura (2017)
    BOFIT Discussion Papers 16/2017
    Published in Russian Journal of Money and Finance, 77, 2, 2018, 3–21
    This study examines whether changes in CAMEL variables matter in explaining bank closure. Using a unique set of monthly bank-specific balance sheet data from Russia, we estimate determinants of bank license withdrawals during 2013m7-2017m7. We make two key findings. First, changes in CAMEL indicators are always significantly correlated with probability of bank closure, and the magnitude of parameter estimates decreases with the lag length. Second, while the one-month lagged levels of capital, earnings, and liquidity are significantly associated with the probability of bank closure in the subsequent month, the level of liquidity is the only significant indicator for longer lags. Our key contribution that changes in CAMEL variables matter more than levels is robust to various robustness checks.
  • Hellqvist, Matti; Laine, Tatu (2012)
    Suomen Pankki. E 45
    Chapter 1 Matti Hellqvist - Tatu Laine Introduction 9 Chapter 2 Klaus Abbink - Ronald Bosman - Ronald Heijmans - Frans van Winden Disruptions in large value payment systems: An experimental approach 15 Chapter 3 Edward Denbee - Rodney Garratt - Peter Zimmerman Methods for evaluating liquidity provision in real-time gross settlement payment systems 53 Chapter 4 Ronald Heijmans - Richard Heuver Is this bank ill? The diagnosis of doctor TARGET2 77 Chapter 5 Tatu Laine - Tuomas Nummelin - Heli Snellman Combining liquidity usage and interest rates on overnight loans: an oversight indicator 119 Chapter 6 Ronald Heijmans - Richard Heuver - Daniëlle Walraven Monitoring the unsecured interbank money market using TARGET2 data 135 Chapter 7 Luca Arciero Evaluating the impact of shocks to the supply of overnight unsecured money market funds on the TARGET2- Banca d'Italia functioning: a simulation study 169 Chapter 8 Ashwin Clarke - Jennifer Hancock Participant operational disruptions: the impact of system design 193 Chapter 9 Horatiu Lovin Systemically important participants in the ReGIS payment system 219 Chapter 10 Marc Pröpper - Iman van Lelyveld - Ronald Heijmans Network dynamics of TOP payments 235 Chapter 11 Carlos León - Clara Machado - Freddy Cepeda - Miguel Sarmiento Systemic risk in large value payments systems in Colombia: a network topology and payments simulation approach 267 Chapter 12 Horatiu Lovin - Andra Pineta Operational risk in ReGIS - a systemically important payment system 315 Chapter 13 Robert Oleschak - Thomas Nellen Does SIC need a heart pacemaker? 341 Chapter 14 Robert Arculus - Jennifer Hancock - Greg Moran The impact of payment system design on tiering incentives 379 Chapter 15 Martin Diehl - Uwe Schollmeyer Liquidity-saving mechanisms: quantifying the benefits in TARGET2 411 Chapter 16 Biliana Alexandrova-Kabadjova - Francisco Solís-Robleda The Mexican experience in how the settlement of large payments is performed in the presence of high volume of small payments 431
  • Fungáčová, Zuzana; Turk-Ariss, Rima; Weill, Laurent (2013)
    BOFIT Discussion Papers 2/2013
    Published in Journal of Financial Stability 2021 ; 57 ; December https://doi.org/10.1016/j.jfs.2021.100937 and IMF Working Paper No. 15/103 (May 06, 2015) as High Liquidity Creation and Bank Failures.
    This paper introduces the "Excessive Liquidity Creation Hypothesis," whereby a rise in a bank's core liquidity creation activity increases its probability of failure. Russia experienced many bank failures over the past decade, making it an ideal natural field experiment for testing this hypothesis. Using Berger and Bouwman's (2009) liquidity creation measures, we find that excessive liquidity creation significantly increased the probability of bank failure during our observation period (2000-2007). This finding survives multiple robustness checks. Our results further suggest that regulatory authorities can mitigate systemic distress and reduce the costs to society from bank failures through early identification and enhanced monitoring of excessive liquidity creators.
  • Koskinen, Kimmo; Laakkonen, Helinä (2018)
    Euro & talous. Analyysi
    Kansainvälisen rahoitusjärjestelmän riippuvuus dollarirahoituksesta luo rakenteellisen likviditeettiriskin rahoitusjärjestelmään. Vaikka pankkien dollarirahoituksen lähteet ovat monipuolistuneet finanssikriisin jälkeen, suurin osa pankkien dollarirahoituksesta on edelleen lyhytaikaista ja kriisitilanteessa mahdollisesti hankalasti uudelleenrahoitettavissa. Haavoittuvuuksiin, jotka liittyvät ulkomaisen valuutan määräiseen rahoitukseen, on hyvä kiinnittää jatkossa entistä tarkempaa huomiota myös Suomessa.
  • (2002)
    Euroopan keskuspankki. Kuukausikatsaus Toukokuu
    EKP:n likviditeetinhallinnalla eli avomarkkinooperaatioissa jaettavaa likviditeettiä koskevilla päätöksillä on keskeinen asema euroalueen rahapolitiikan toteuttamisessa.Tämä artikkeli kuvaa EKP.n likviditeetinhallintaa kolmena ensimmäisenä eurovuotena keskittyen tarkastelemaan sekä likviditeetin kysyntää että tarjontaa.Eurojärjestelmän rahapolitiikan välineistä viikoittaiset perusrahoitusoperaatiot ovat likviditeetinhallinnan tärkein väline. Tässä artikkelissa selitetään, miten EKP arvioi luottolaitosten likviditeettitarpeet ja miten ne muodostavat perustan EKP:n likviditeetinjakopäätöksille perusrahoitusoperaatioissa.Artikkelissa esitetään myös, että kaiken kaikkiaan EKP:n likviditeetinhallinta on helpottanut likviditeetin tasoista tarjontaa ja yleisesti ottaen onnistunut pitämään lyhyet rahamarkkinakorot lähellä perusrahoitusoperaatioiden korkoa.
  • Hellström, Jenni (2015)
    Bank of Finland Bulletin. Blog
    In exceptional circumstances, Eurosystem central banks can also grant credit to banks outside monetary policy operations.