The Resource Three essays on liquidity risk, Grégory Claeys

Three essays on liquidity risk, Grégory Claeys

Label
Three essays on liquidity risk
Title
Three essays on liquidity risk
Statement of responsibility
Grégory Claeys
Creator
Contributor
Subject
Language
eng
Summary
Liquidity risk is inherent to the very nature of the banking activity which is to transform short term liabilities into long term assets. That is why liquidity crises are in one way or another implied in most financial crisis episodes. This thesis contributes to the understanding of how liquidity risk and liquidity crises in the banking and financial sector affect the allocation of resources and the functioning of the economy, and also discusses what could be the best institutional arrangements to share liquidity risk across agents and the best economic policies to avoid liquidity crises. It consists of three chapters focusing on diverse aspects of this topic. The first chapter, co-authored with Katerina-Chara Papioti, provides a new way to measure liquidity risk in the financial sector using the bidding behavior of banks in the bond auctions conducted by central banks. The second chapter examines risk-sharing between agents prone to liquidity shocks obtained through generational and intergenerational coalitions and asset trading in overlapping generation economies. Various institutional arrangements including financial intermediaries, stock markets and government interventions are studied in order to compare their risk sharing performance and optimality. The third chapter examines the international dimension of the liquidity issue and studies theoretically what combination of exchange rate regime and central bank policy is less vulnerable to a combined currency and banking crisis focusing on the sudden stop of capital flows as an underlying source of instability
Cataloging source
FIE
http://library.link/vocab/creatorName
Claeys, Grégory
Date time place
Defence date: 22 April 2015
Dissertation note
Thesis (Ph. D.)--European University Institute (ECO), 2015.
Index
no index present
Literary form
non fiction
Nature of contents
theses
http://library.link/vocab/relatedWorkOrContributorName
European University Institute
Series statement
  • EUI PhD theses.
  • EUI theses
http://library.link/vocab/subjectName
  • Liquidity (Economics)
  • Financial crises
Label
Three essays on liquidity risk, Grégory Claeys
Link
http://hdl.handle.net/1814/35519
Instantiates
Publication
Note
Examining Board: Professor Elena Carletti, EUI & Bocconi University, Supervisor; Professor Andrea Mattozzi, EUI; Professor Bruno Maria Parigi, University of Padoa; Professor Philippe Weil, Université Libre de Bruxelles
Bibliography note
Includes bibliographical references (p. 86-87)
Control code
FIEb17689193
Dimensions
30 cm.
Extent
87 pages
Other physical details
illustrations
System control number
(OCoLC)914481314
Label
Three essays on liquidity risk, Grégory Claeys
Link
http://hdl.handle.net/1814/35519
Publication
Note
Examining Board: Professor Elena Carletti, EUI & Bocconi University, Supervisor; Professor Andrea Mattozzi, EUI; Professor Bruno Maria Parigi, University of Padoa; Professor Philippe Weil, Université Libre de Bruxelles
Bibliography note
Includes bibliographical references (p. 86-87)
Control code
FIEb17689193
Dimensions
30 cm.
Extent
87 pages
Other physical details
illustrations
System control number
(OCoLC)914481314

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