A dealer’s funding liquidity risk and its money market trades in the 2007/08 crisis

IF 6.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Stability Pub Date : 2024-10-17 DOI:10.1016/j.jfs.2024.101337

Falko Fecht , Stefan Reitz , Patrick Weber

引用次数: 0

Abstract

In this study, we examine the trading book of a major dealer in the European unsecured money market, focusing on the impact of a dealer’s own funding liquidity risk on the pricing of his interbank trades pre- and post- the 2007/08 financial crisis. Our analysis reveals two key insights: First, utilizing a panel model, we observe that heightened funding liquidity risks for the dealer generally affect his quoted prices for interbank liquidity. Second, while in tranquil periods this effect is statistically significant but economically less pronounced, the collapse of Lehman Brothers led to a strong liquidity pricing effect: a one standard deviation increase in the funding liquidity risk of the dealer translated to a 11 basis points higher mid-price for overnight liquidity. We thus find evidence that funding liquidity risks exacerbated the overall contraction of money market liquidity during this period.

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2007/08 年危机中交易商的资金流动性风险及其货币市场交易

在本研究中，我们考察了欧洲无担保货币市场上一家主要交易商的交易账簿，重点研究了 2007/08 年金融危机前后交易商自身的资金流动性风险对其银行间交易定价的影响。我们的分析揭示了两个关键问题：首先，利用面板模型，我们发现交易商资金流动性风险的增加通常会影响其银行间流动性的报价。其次，在平静时期，这种影响在统计上是显著的，但在经济上并不那么明显，而雷曼兄弟的倒闭则导致了强烈的流动性定价效应：交易商的资金流动性风险每增加一个标准差，隔夜流动性的中间价格就会提高 11 个基点。因此，我们发现有证据表明，资金流动性风险加剧了这一时期货币市场流动性的整体收缩。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial Stability Multiple-

CiteScore

7.70

自引率

9.30%

发文量

审稿时长

34 days

期刊介绍： The Journal of Financial Stability provides an international forum for rigorous theoretical and empirical macro and micro economic and financial analysis of the causes, management, resolution and preventions of financial crises, including banking, securities market, payments and currency crises. The primary focus is on applied research that would be useful in affecting public policy with respect to financial stability. Thus, the Journal seeks to promote interaction among researchers, policy-makers and practitioners to identify potential risks to financial stability and develop means for preventing, mitigating or managing these risks both within and across countries.