| Description |
1 online resource (28 pages) : color illustrations |
| Series |
IMF working paper, 1934-7073 ; WP/11/180 |
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IMF working paper ; WP/11/180.
|
| Contents |
Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. The Literature; A. Defaults Literature; B. Deposits Literature; III. The Rationale; IV. Empirical Analysis; A. Scope of the Analysis; B. Data and Definitions; 1. Banks' Defaults in the United States 2004-2010; 2. Asset Size of Defaulted and Nondefaulted Banks; 1. U.S. Banks Failures 2007-2009: Descriptive Statistics; 2. Paired Samples T-Test: Defaults and Non-Defaults; C. The Model; 3. Definition of Variables Used in the Main Model; D. Results; 4. Basic Determinants of Banks' Defaults |
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5. Introducing Funding. The Impact of the Loan-to-Deposit Ratio on Banks' Defaults6. Banks' Defaults. Does Deposit Composition Matter? Looking at Size, Contractual Maturity (Demand vs Time) and Brokered; E. Robustness; 7. Definition of Bank-Specific and Macroeconomic Variables Used in the Alterantive Models; 8. Banks' Defaults. and Funding Relevance. Testing for Robustness to Alternative Macroeconomic Variables.; 9. Banks' Defaults. and Funding Relevance. Testing for Robustness to Alternative Bank-Specific Variables |
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10. Testing for Robustness of Results to an Alternative Measure of Funding Mix. V. Conclusions; References; Footnotes |
| Summary |
This paper tests the role of different banks' liquidity funding structures in explaining the banks' failures, which occurred in the United States between 2007 and 2009. The results highlight that funding is indeed a significant factor in explaining banks' probability of default. By confirming the role of funding as the driver of banking crisis, the paper also recognizes that the new liquidity framework proposed by the Basel Committee on Banking Supervision appears to have the features to strengthen banks' liquidity conditions and improve financial stability. Its correct implementation together with closer supervision of banks' liquidity and funding conditions appear, however, the determinant for such improvements to be achieved |
| Notes |
At head of title: Monetary and Capital Markets Department |
|
"July 2011." |
| Bibliography |
Includes bibliographical references (pages 25-28) |
| Notes |
Online resource; title from PDF title page (IMF, viewed January 9, 2011) |
| Subject |
Bank failures -- Econometric models
|
|
Financial risk management.
|
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Bank failures -- Econometric models
|
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Financial risk management
|
| Form |
Electronic book
|
| Author |
International Monetary Fund. Monetary and Capital Markets Department, issuing body.
|
| ISBN |
1283567393 |
|
9781283567398 |
|
9781463900441 |
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1463900449 |
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