Bank Liquidity, the Maturity Ladder, and Regulation

  • de Haan L
  • van den End J
N/ACitations
Citations of this article
N/AReaders
Mendeley users who have this article in their library.
Get full text

Abstract

We investigate 62 Dutch banks’ liquidity behaviour between January 2004 and March 2010, when these banks were subject to a liquidity regulation that is very similar to Basel III’s Liquidity Coverage Ratio (LCR). We find that most banks hold more liquid assets against their stock of liquid liabilities, such as demand deposits, than strictly required under the regulation. More solvent banks hold fewer liquid assets against their stock of liquid liabilities, suggesting an interaction between capital and liquidity buffers. However, this interaction turns out to be weaker during a crisis. Although not required, some banks consider cash flows scheduled beyond one month ahead when setting liquidity asset holdings, but they seldom look further ahead than one year.

Cite

CITATION STYLE

APA

de Haan, L., & van den End, J. W. (2012). Bank Liquidity, the Maturity Ladder, and Regulation. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2125081

Register to see more suggestions

Mendeley helps you to discover research relevant for your work.

Already have an account?

Save time finding and organizing research with Mendeley

Sign up for free