Liquidity in Resolution: Estimating Possible Liquidity Gaps for Specific Banks in Resolution and in a Systemic Crisis

62 Pages Posted: 10 Nov 2020

See all articles by Laura Parisi

Laura Parisi

European Central Bank (ECB)

Dimitrios E. Chalamandaris

Bank of Greece

Raschid Amamou

European Central Bank (ECB)

Pär Torstensson

European Central Bank (ECB)

Date Written: November, 2020

Abstract

This paper contributes to the debate on liquidity in resolution by providing a quantitative assessment of liquidity gaps of banks in resolution in the euro area. It estimates possible ranges of liquidity gaps for significant banks under different assumptions and scenarios. The findings suggest that, while the average liquidity gaps in resolution are limited, the averages hide significant outliers. The paper thus shows that, under adverse circumstances, the instruments currently available to provide liquidity support to financial institutions in the euro area would be insufficient

JEL Classification: G01, G21, G28, G33, C63

Suggested Citation

Parisi, Laura and Chalamandaris, Dimitrios E. and Amamou, Raschid and Torstensson, Pär, Liquidity in Resolution: Estimating Possible Liquidity Gaps for Specific Banks in Resolution and in a Systemic Crisis (November, 2020). ECB Occasional Paper No. 2020250, Available at SSRN: https://ssrn.com/abstract=3727927 or http://dx.doi.org/10.2139/ssrn.3727927

Laura Parisi (Contact Author)

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Dimitrios E. Chalamandaris

Bank of Greece ( email )

21 E. Venizelos Avenue
GR 102 50 Athens
Greece

Raschid Amamou

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Pär Torstensson

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

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