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Contents:
Chapter II. How to Address the Systemic Part of Liquidity Risk |
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Full Text | Video | Boxes | Figures | Press Points | |||
Summary | |||
What Is Systemic Liquidity Risk? | |||
Will Liquidity Rules Under Basel III Lower Systemic Risk? | |||
Measures of Systemic Liquidity Risk and Potential Macroprudential Tools to Mitigate It | |||
Summary and Policy Considerations | |||
Annex 2.1. Methods Used to Compute a Systemic Liquidity Risk Index | |||
Annex 2.2. Technical Description of the Systemic Risk-Adjusted Liquidity Model | |||
Annex 2.3. Highlights of the Stress-Testing Framework References | |||
References | |||
Chapter III. Housing Finance and Financial Stability—Back to Basics? |
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Full Text | Video | Boxes | Figures | Press Points | |||
Summary | |||
Housing Booms and Busts—Theory and Stylized Facts | |||
Global Housing Finance Landscape | |||
Housing Finance and Financial Stability | |||
Conclusions and Policy Implications—Back to Basics | |||
Annex 3.1. The Impact of Housing Finance Modes on House Prices and Loan-Loss Growth during the Recent Crisis | |||
Annex 3.2. Evidence on House Prices, Credit, and Housing Finance Characteristics in Advanced Economies | |||
References | |||
Boxes | |||
Data | 2.1 | How Well Does the Net Stable Funding Ratio Predict Banks' Liquidity Problems? | |
2.2 | How Well Does the Systemic Liquidity Risk Index Explain Banks' Liquidity Problems? | ||
3.1 | The Danish “Balance Principle” Mortgage Model | ||
3.2 | Legal Prerequisites for Housing Finance Systems | ||
3.3 | Experience with Limits on Loan-to-Value Ratios for Residential Mortgages | ||
Data | 3.4 | Housing Finance and the U.S. Housing Crisis | |
3.5 | Emerging Market Mortgage Securitization | ||
3.6 | Empirical Analyses of the Relationships among House Prices, Credit, and Housing Finance Characteristics | ||
3.7 | Mortgage Finance Unbundling and Incentive Misalignments | ||
Tables | |||
2.1 | Factors Used in Calculations | ||
2.2 | Main Features of the Proposed Methodologies | ||
2.3 | Indicators for (Systemic) Liquidity Risk Monitoring | ||
2.4 | Joint Expected Losses from Systemic Liquidity Risk | ||
2.5 | Capital Charge for Individual Liquidity Risk and Individual Contribution to Systemic Liquidity Risk | ||
2.6 | Summary Statistics of Individual Contributions to Systemic Liquidity Risk and Associated Fair Value Insurance Premium | ||
2.7 | Selected Liquidity Stress Testing Frameworks | ||
2.8 | Withdrawal Rate Assumptions | ||
2.9 | Probability of Banks Ending the Simulation with a Liquidity Shortage | ||
2.10 | Capital Surcharges | ||
2.11 | Selected Regulatory Proposals for Managing Systemic Liquidity Risk | ||
3.1 | Crisis Measures | ||
3.2 | Housing Finance Features in Advanced Economies, 2008 | ||
3.3 | Housing Finance Systems in Emerging and Newly Industrialized Economies, 2008 | ||
3.4 | Mortgage Market Characteristics in Emerging and Newly Industrialized Economies, 2008 | ||
3.5 | Index of Government Participation in Housing Finance Markets, 2008 | ||
3.6 | Which Housing Finance Features Help Explain Growth in House Prices, Mortgage Credit, and Nonperforming Loans? | ||
3.7 | Joint Determinants of Growth in Real House Prices, Mortgage Credit, and Loan Losses | ||
3.8 | Joint Determinants of Growth in Real House Prices and Mortgage Credit, Pre-Crisis Episode, 2004–07 | ||
3.9 | House Prices and Household Bank Credit | ||
3.10 | House Prices, Household Bank Credit, and Macroeconomic Controls | ||
3.11 | House Prices and Housing Finance Characteristics | ||
3.12 | House Prices and Government Participation | ||
Figures | |||
Data | 2.1 | Net Stable Funding Ratio by Region | |
Data | 2.2 | Net Stable Funding Ratio by Business Model | |
Data | 2.3 | Net Stable Funding Ratio by Bank, 2009 | |
Data | 2.4 | Systemic Liquidity Risk Index | |
Data | 2.5 | Average Sensitivity of Volatility of Banks' Return on Equity to Systemic Liquidity Risk Index | |
Data | 2.6 | Sensitivity of Volatility of Banks’ Return on Equity Based on Market Capitalization to Systemic Liquidity Risk Index | |
Data | 2.7 | Sensitivity of Volatility of Banks' Return on Equity Based on Net Stable Funding Ratio to Systemic Liquidity Risk Index | |
Data | 2.8 | Illustration of Individual Expected Losses Arising from Liquidity Risk | |
Data | 2.9 | Illustration of Joint and Total Expected Shortfalls Arising from Systemic Liquidity Risk | |
Data | 2.10 | Total Loan Reductions | |
Data | 2.11 | Principal Component Analysis: Total Variation Explained by Each Factor | |
2.12 | Methodology to Compute Systemic Liquidity under the Systemic Risk-Adjusted Liquidity Model | ||
2.13 | Conceptual Relation between the Net Stable Funding Ratio at Market Prices and Expected Losses from Liquidity Risk | ||
2.14 | Conceptual Scheme for the Probability Distribution of Joint Expected Shortfall from Liquidity Risk: Two-Firm (Bivariate) Case | ||
2.15 | Systemic Liquidity Risk ST Framework | ||
Data | 3.1 | House Price Indices | |
Data | 3.2 | Government Participation in Housing Finance | |
Data | 3.3 | Government Participation in Housing Finance: Emerging and Newly Industrialized Economies | |
Data | 3.4 | Homeownership Rate and Government Participation in Housing Finance | |
Data | 3.5 | Homeownership Rate | |
Data | 3.6 | Residential Mortgage-Debt-to-GDP Ratio: Advanced Economies | |
Data | 3.7 | Residential Mortgage-Debt-to-GDP Ratio: Emerging Europe | |
Data | 3.8 | Nonperforming Residential Mortgage Loans | |
Data | 3.9 | Home Foreclosures in the United Kingdom and the United States | |
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