The interaction between funding liquidity and market liquidity - Evidence from subprime and European crisis


竹山梓 (日本銀行)
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大阪大学 数理・データ科学セミナー 金融・保険セミナーシリーズ 第63回
The interaction between funding liquidity and market liquidity - Evidence from subprime and European crisis

竹山梓 (日本銀行)

This paper explores the interaction between funding liquidity and market liquidity. The simultaneous dry-up of funding and market liquidity was often observed in financial crises. While Brunnermeier and Pedersen (2009) explain this phenomenon by an unintended destabilization effect of the function to stabilize financial markets such as margin call due to uninformed traders' behavior under uncertainty, Nyborg and Ostberg (2014) claim that the dysfunction of interbank funding markets causes the decline in market liquidity in broad financial markets. We demonstrate that Brunnermeier and Pedersen's mechanism is dominant during subprime financial crisis while both hypotheses are valid during European sovereign debt crisis using the structural VAR model.

講 師:
竹山梓 (日本銀行)
テーマ:
The interaction between funding liquidity and market liquidity - Evidence from subprime and European crisis
日 時:
2015年05月25日(月)16:20-17:50
場 所:
大阪大学豊中キャンパス基礎工学部I棟204号室
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無料
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