Bank Liquidity and the Global Financial Crisis英文文献资料.docVIP

HindawiPublishingCorporation JournalofAppliedMathematics Volume2012,ArticleID743656,27pages doi:10.1155/2012/743656 ResearchArticle BankLiquidityandtheGlobalFinancialCrisis FrednardGideon, 1 MarkA.Petersen, 2 JanineMukuddem-Petersen, 3 andBernadineDeWaal 2 1Department ofMathematics, FacultyofScience,University ofNamibia,PrivateBag13301, Windhoek9000,Namibia 2ResearchDivision,FacultyofCommerceandAdministration, North-WestUniversity,PrivateBagx2046, Mmabatho 2735,SouthAfrica 3Economics Division,FacultyofCommerceandAdministration, North-WestUniversity, PrivateBagx2046,Mmabatho 2735,SouthAfrica Correspondence shouldbeaddressedtoFrednardGideon,tewaadha@ Received2November 2011;Revised22January2012;Accepted 5February2012 Academic Editor:Chuanhou Gao Copyright q2012FrednardGideonetal. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction inanymedium,providedtheoriginalworkisproperlycited. Weinvestigate thestochastic dynamics ofbankliquidityparameters suchasliquidassetsandnett cashout?owinrelationtotheglobal?nancial crisis.Theseparameters enableustodetermine the liquiditycoverageratiothatisoneofthemetricsusedinratioanalysistomeasurebankliquidity.In thisregard,numerical resultsshowthatbankbehavior relatedtoliquidity washighlyprocyclical during the?nancial crisis. Wealsoconsider atheoretical-quantitative approach tobank liquidity provisioning. Inthiscase,weprovideanexplicit expression fortheaggregate liquidity riskwhen alocallyrisk-minimizing strategyisutilized. 1.Introduction During the global ?nancial crisis GFC, banks were under severe pressure to maintain adequateliquidity.Ingeneral,empiricalevidenceshowsthatbankswithsu?cientliquidity can meet their payment obligations while banks with low liquidity cannot. The GFC highlighted the fact that liquidity risk can proliferate quickly with funding sources dissipatingandconcernsaboutassetvaluationan