The Term Auction Facility effect on liquidity risk exposure

Stefano Puddu, Andreas Wälchli 12 December 2012

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As the interbank credit market was under serious stress at the end of 2007, the Federal Reserve launched the Term Auction Facility (TAF) with the aim of injecting liquidity into the interbank market. Cecchetti (2007) explains that banks were reluctant to lend to other banks, mainly because of uncertainty about the asset quality on the balance sheets of the potential borrowers. Between December 2007 and March 2010, the Fed auctioned a total of $3.81 trillion collateralised funds, with maturities of 28 or 84 days.

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Topics:  Financial markets

Tags:  subprime crisis, liquidity risk, global crisis, term auction facility

Systemic liquidity risk: A European approach

Enrico Perotti 25 October 2011

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The repeated bursts of financial distress in Europe in 2010-11 reflect vulnerabilities built up in the previous decade and are germane to the roots of the credit crisis.

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Topics:  Financial markets International finance

Tags:  liquidity risk, Basel, hot money

A consensus view on liquidity risk

Viral Acharya, Arvind Krishnamurthy, Enrico Perotti 14 September 2011

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On 15 April 2011 a joint IMF-Financial Stability Board workshop gathered senior policymakers and academics in Washington to review the open issue of systemic liquidity risk. Some participating academics agreed to underwrite this common statement, in the belief that this regulatory gap, though intellectually well-recognised, still requires concrete attention.

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Topics:  Global crisis International finance

Tags:  financial regulation, liquidity risk

Liquidity risk and the current crisis

Lasse Heje Pedersen 15 November 2008

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What is liquidity risk and how can it help us understand the current crisis? How do we solve the crisis - and which measures will only hurt?

Here I provide some answers. The column is based on my 20 October 2008 talk at the International Monetary Fund and the Federal Reserve Board. To see the slides with lots of figures and graphs, click here.

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Topics:  Financial markets

Tags:  financial crisis, liquidity risk

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