haku: @author Stenbacka, R. / yhteensä: 13
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| Tekijä: | Ringbom, S. Shy, O. Stenbacka, R. |
| Otsikko: | Optimal liquidity management and bail-out policy in the banking industry |
| Lehti: | Journal of Banking and Finance
2004 : JUN, VOL. 28:6, p. 1319-1335 |
| Asiasana: | Banking Liquidity Crises Models |
| Kieli: | eng |
| Tiivistelmä: | This study characterizes the profit-maximizing reserves of a commercial bank, and the generated probability of a liquidity (hereafter as: liq.) crisis, as a function of the penalty imposed by the Central Bank, the probability of depositors' liq. needs, and the return on outside investment opportunities. It is demonstrated that banks do not fully internalize the social cost associated with the bail-out policy if the liq. needs of individuals are correlated, and that competitive interbank markets will induce banks to raise their reserves under reasonable conditions. The marginal benefits from an interbank market decrease as the correlation btw. the liq. shocks of banks increases. |
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