Systemic Liquidity Shocks and Banking Sector Liquidity Characteristics on the Eve of Liquidity Coverage Ratio Application - The Case of the Czech Republic¹

1. Amihud, Y. (2002). “Illiquidity and Stock Returns: Cross-section and Time-Series Effects.” Journal of Financial Markets 5 (1): pp. 31-56.10.1016/S1386-4181(01)00024-6Search in Google Scholar

2. Balasubramanyan, L., & D. D. VanHoose. (2013). “Bank Balance Sheet Dynamics under a Regulatory Liquidity-Coverage-Ratio Constraint.” Journal of Macroeconomics, 37 (September): pp. 53-67.Search in Google Scholar

3. BCBS. (1992). A Framework for Measuring and Managing Liquidity. Basel: Bank for International Settlements.Search in Google Scholar

4. BCBS. (2000). Sound Practices for Managing Liquidity in Banking Organizations. Basel: Bank for International Settlements.Search in Google Scholar

5. BCBS. (2008). Principles for Sound Liquidity Risk Management and Supervision. Basel: Bank for International Settlements.Search in Google Scholar

6. BCBS. (2013a). Basel III: Liquidity. Basel: Bank for International Settlements.Search in Google Scholar

7. BCBS. (2013b) Basel III: The Liquidity Coverage Ratio and Liquidity Risk Monitoring Tools. Basel: Bank for International Settlements.Search in Google Scholar

8. Brunnermeier, M. K., & L. H. Pedersen. (2007). “Market Liquidity and Funding Liquidity.” [NBER Working Paper No. 12939]. Cambridge: NBER.10.3386/w12939Search in Google Scholar

9. EC. (2013a). Directive 2013/36/EU on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms (CRD IV). Brussels: European Commission.Search in Google Scholar

10. EC. (2013b). Regulation No 575/2013 on prudential requirements for credit institutions and investments firms (CRR). Brussels: European Commission.Search in Google Scholar

11. ECB. (2009). EU Bank’s Funding Structures and Policies. Frankfurt am Main: European Central Bank.Search in Google Scholar

12. Eisenbach, T., T. Keister, J. McAndrews, and T. Yorulmazer. (2014). “Stability of Funding Models: An Analytical Framework.” FRBNY Economic Policy Review. 20 (1): pp. 29-47.Search in Google Scholar

13. FRBNY. (2014). “The Stability of Funding Models.” FRBNY Economic Policy Review – Special Issue. 20 (February 2014).Search in Google Scholar

14. Hong, H., J. Z. Huang, & D. Wu. (2014). “The Information Content of Basel III Liquidity Risk Measures.” Journal of Financial Stability. 15 (December 2014): pp. 91-111.Search in Google Scholar

15. Huang, R. & L. Ratnovski. (2010). “The Dark Side of Bank Wholesale Funding.” [ECB Working Paper No. 1223]. Frankfurt am Main: European Central Bank.10.21799/frbp.wp.2009.03Search in Google Scholar

16. Imbierowicz, B., & C. Rauch. (2014). “The Relationship between Liquidity Risk and Credit Risk in Banks.” Journal of Banking and Finance, 40 (March 2014): pp. 242-256.Search in Google Scholar

17. IMF. (2013). “Changes in Bank Funding Patterns and Financial Stability Risks.” Global Financial stability Report (October): pp. 105-148.Search in Google Scholar

18. IMF. (2010). “Systemic Liquidity Risk: Improving the Resiliency of Financial Institutions and Markets.” Financial stability Review (October): pp. 58-83.Search in Google Scholar

19. Mandel, M., & V. Tomšík. (2011). “Regulace bankovního sektoru z pohledu ekonomické teorie.” Politická ekonomie, 59 (1): pp. 58-81.10.18267/j.polek.772Search in Google Scholar

20. Morris, S., & H. S. Shin. (2009). “Illiquidity Component of Credit Risk.” [Working Paper]. Princeton: Princeton University.Search in Google Scholar