Measuring Liquidity Mismatch in the Banking Sector

• 成果类型: Article
• 署名作者: Bai, Jennie; Krishnamurthy, Arvind; Weymuller, Charles-Henri
• 署名单位: Georgetown University; Stanford University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12591
• 发表日期: 2018
• 页码: 51-93
• 关键词: FINANCIAL CRISIS; Basel III; RISK; MARKET; Repo; runs

摘要

This paper constructs a liquidity mismatch index (LMI) to gauge the mismatch between the market liquidity of assets and the funding liquidity of liabilities, for 2,882 bank holding companies over 2002 to 2014. The aggregate LMI decreases from +$4 trillion precrisis to -$6 trillion in 2008. We conduct an LMI stress test revealing the fragility of the banking system in early 2007. Moreover, LMI predicts a bank's stock market crash probability and borrowing decisions from the government during the financial crisis. The LMI is therefore informative about both individual bank liquidity and the liquidity risk of the entire banking system.