文档介绍：LIQUIDITY, BANKING REGULATION AND ARY
POLICY
Evidence on UK bank liquidity holdings from a panel of UK-
resident banks
Oriol Aspachs1
Erlend Nier2
Muriel Tiesset3
November 2004
Very Preliminary - Please do not quote
1 London School of Economics, Financial Markets Group. o.******@
2 Bank of England. Erlend.******@
3 Bank of England and Banque de France. muriel.******@banque-
The views expressed in this paper are solely those of the authors and should not be thought of as
representing the views of the Bank of England, the Banque de France or the London School of
Economics.
Abstract
This paper provides a prehensive analysis of the determinants of UK
banks’ liquidity policy using a unique panel data set that covers the bulk of the
UK banking industry. We study both, macro and idiosyncratic determinants of
banks’ liquidity buffers. On the macro side we put special emphasis on how
central bank ary and LOLR policy may affect banks’ liquidity buffers. The
results show that the greater the potential support of the central bank, in case of
liquidity crises, the lower the liquidity buffer the banks hold. In addition, we
observe that since banks cannot raise as much funds as desired they appear to
pursue a counter-cyclical liquidity policy, with liquidity buffers low in economic
upturns, when interest rates are high, and high in economic downturns, when
interest rates are low. Finally, the nature of the British banking sector, with a
large presence of foreign institutions allows us to study how liquidity policy
might differ between UK and foreign owned institutions. This evidence may
shed light on an incipient debate as to whether there might be a need for
international coordination as regards liquidity regulation as well as regards
central bank LOLR policies for internationally active banks.
1. Introduction
The import