Liquidity risk and bank portfolio allocation

Raphaël Franck; Miriam Krausz

doi:10.1016/j.iref.2004.09.007

Liquidity risk and bank portfolio allocation

Raphaël Franck
, Miriam Krausz^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

6 Scopus citations

Abstract

The joint existence of a lender of last resort and of a stock market is usually considered the sign of a developed financial infrastructure. This paper analyzes whether a securities market may play a role similar to that of a lender of last resort by being of assistance to a bank, which faces possible liquidity shortages. We examine which of these two institutions best prevents a bank's liquidity shortages while allowing the optimal allocation of the bank's resources. Our results suggest that securities markets matter more for the liquidity of banks than a lender of last resort.

Original language	English
Pages (from-to)	60-77
Number of pages	18
Journal	International Review of Economics and Finance
Volume	16
Issue number	1
DOIs	https://doi.org/10.1016/j.iref.2004.09.007
State	Published - 2007
Externally published	Yes

Keywords

Financial markets
Lender of last resort
Liquidity risk

Access to Document

10.1016/j.iref.2004.09.007

Cite this

@article{e046bdf547064b6c877f765808c72d96,

title = "Liquidity risk and bank portfolio allocation",

abstract = "The joint existence of a lender of last resort and of a stock market is usually considered the sign of a developed financial infrastructure. This paper analyzes whether a securities market may play a role similar to that of a lender of last resort by being of assistance to a bank, which faces possible liquidity shortages. We examine which of these two institutions best prevents a bank's liquidity shortages while allowing the optimal allocation of the bank's resources. Our results suggest that securities markets matter more for the liquidity of banks than a lender of last resort.",

keywords = "Financial markets, Lender of last resort, Liquidity risk",

author = "Rapha{\"e}l Franck and Miriam Krausz",

year = "2007",

doi = "10.1016/j.iref.2004.09.007",

language = "אנגלית",

volume = "16",

pages = "60--77",

journal = "International Review of Economics and Finance",

issn = "1059-0560",

publisher = "Elsevier Inc.",

number = "1",

}

TY - JOUR

T1 - Liquidity risk and bank portfolio allocation

AU - Franck, Raphaël

AU - Krausz, Miriam

PY - 2007

Y1 - 2007

N2 - The joint existence of a lender of last resort and of a stock market is usually considered the sign of a developed financial infrastructure. This paper analyzes whether a securities market may play a role similar to that of a lender of last resort by being of assistance to a bank, which faces possible liquidity shortages. We examine which of these two institutions best prevents a bank's liquidity shortages while allowing the optimal allocation of the bank's resources. Our results suggest that securities markets matter more for the liquidity of banks than a lender of last resort.

AB - The joint existence of a lender of last resort and of a stock market is usually considered the sign of a developed financial infrastructure. This paper analyzes whether a securities market may play a role similar to that of a lender of last resort by being of assistance to a bank, which faces possible liquidity shortages. We examine which of these two institutions best prevents a bank's liquidity shortages while allowing the optimal allocation of the bank's resources. Our results suggest that securities markets matter more for the liquidity of banks than a lender of last resort.

KW - Financial markets

KW - Lender of last resort

KW - Liquidity risk

UR - https://www.scopus.com/pages/publications/33751225666

U2 - 10.1016/j.iref.2004.09.007

DO - 10.1016/j.iref.2004.09.007

M3 - ???researchoutput.researchoutputtypes.contributiontojournal.article???

AN - SCOPUS:33751225666

SN - 1059-0560

VL - 16

SP - 60

EP - 77

JO - International Review of Economics and Finance

JF - International Review of Economics and Finance

IS - 1

ER -

Liquidity risk and bank portfolio allocation

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this