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首页> 外文期刊>The quarterly review of economics and finance >Measuring heterogeneity in bank liquidity risk: Who are the winners and losers?
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Measuring heterogeneity in bank liquidity risk: Who are the winners and losers?

机译：衡量银行流动性风险的异质性：谁是赢家和输家？

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摘要

The 2007-2009 crisis stressed the importance of liquidity for banks. Aggregate liquidity indices provide an account of financial market liquidity conditions. However, these indices do not illustrate how banks individually are affected by such conditions. Similarly, balance sheet indicators only reflect degrees of potential bank exposure to liquidity shocks. Using a risk factor model, we present a way of measuring bank sensitivity to liquidity risk. Our results indicate that liquidity risk is a specific risk, and we shed light on heterogeneities among banks in terms of their exposure to liquidity risk. Liquidity conditions can hinder or benefit banks, and banks can also be insensitive to such conditions. We document large variations in exposure levels across the 2008 and 2011 crises. Larger size and higher capital levels insulate banks from aggregate liquidity risk. However, deposit shares, wholesale funding reliance and funding gaps affect only those banks benefiting from aggregate liquidity risk. These ratios reveal bank liquidity production levels. This suggests that market discipline applies to liquidity production, but only for less risky banks in cases of liquidity crisis. Thus, market discipline appears to be one-sided. This reinforces the necessity of liquidity requirements for all banks as illustrated from the Basel HI liquidity ratios.
机译：2007-2009年的危机强调了银行流动性的重要性。总流动性指数提供了金融市场流动性状况的说明。但是，这些指数并未说明银行如何单独受到此类条件的影响。同样，资产负债表指标仅反映银行可能遭受流动性冲击的程度。使用风险因子模型，我们提出了一种衡量银行对流动性风险敏感性的方法。我们的结果表明，流动性风险是一种特定的风险，我们从银行面临的流动性风险方面揭示了银行之间的异质性。流动性状况可能会阻碍或使银行受益，银行也可能对这种状况不敏感。我们记录了在2008年和2011年危机中暴露水平的巨大差异。更大的规模和更高的资本水平使银行避免了总的流动性风险。但是，存款份额，批发资金的依赖和资金缺口仅影响那些受益于总流动性风险的银行。这些比率揭示了银行的流动性生产水平。这表明市场纪律适用于流动性生产，但仅在流动性危机的情况下适用于风险较小的银行。因此，市场纪律似乎是单方面的。如巴塞尔HI流动性比率所示，这加强了所有银行的流动性要求的必要性。

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