This thesis presents three bank-related research studies inspired by some relevant events brought about by the recent subprime banking crisis. The first part of this work links banking-sector liquidity creation to both liquidity supply from central banks worldwide and international interbank liabilities, within a global macro-econometric framework. In the second part it is carried out a micro-econometric analysis on all global US banks with the intent to explain pre- and post-crisis dynamics in Net Inter-Office Accounts (NIOA). The last part of the thesis proposes a framework capable to model, among other things, inefficient policy interventions by a central banker during a crisis when an accurate assessment of the true solvency of a bank is unattainable.
Banks: selected investigations on the roles of liquidity, globalization and credit risk / D'Avino, Carmela. - (2011 Apr 04).
Banks: selected investigations on the roles of liquidity, globalization and credit risk
D'Avino, Carmela
2011-04-04
Abstract
This thesis presents three bank-related research studies inspired by some relevant events brought about by the recent subprime banking crisis. The first part of this work links banking-sector liquidity creation to both liquidity supply from central banks worldwide and international interbank liabilities, within a global macro-econometric framework. In the second part it is carried out a micro-econometric analysis on all global US banks with the intent to explain pre- and post-crisis dynamics in Net Inter-Office Accounts (NIOA). The last part of the thesis proposes a framework capable to model, among other things, inefficient policy interventions by a central banker during a crisis when an accurate assessment of the true solvency of a bank is unattainable.File | Dimensione | Formato | |
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