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LIQUIDITY: Efficiency and Stability in Financial Markets - Selected papers...
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LIQUIDITY: Efficiency and Stability in Financial Markets - Selected papers from 4th Chapman Conference on Money and Finance.

A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Banking and Finance".

Deadline for manuscript submissions: closed (31 December 2019) | Viewed by 23949

Special Issue Editors

Prof. Dr. James R. Barth

E-Mail Website
Guest Editor
Lowder Eminent Scholar in Finance, Auburn University, Auburn, AL 36849, USA
Interests: banking; financial regulation; banking crises
Special Issues, Collections and Topics in MDPI journals
Dr. Clas Wihlborg

E-Mail Website
Guest Editor
International Business Research Faculty, The George L. Argyros School of Business and Economics, Chapman University, Orange, CA 92866, USA
Interests: banking regulation; financial crisis; exchange rate risk; risk management; European Union integration
Special Issues, Collections and Topics in MDPI journals

Special Issue Information

Dear Colleagues,

The conference highlights recent developments in research on liquidity and implications for asset and liability management, financial stability, and regulation. Liquidity is a fluid concept but often taken for granted in the theory of finance. There is no generally accepted theory for the pricing of liquidity as there is for the pricing of risk. Although banks have always been concerned with liquidity management, the financial crisis revealed that there is a great gap in our understanding of what factors affect liquidity for specific securities, financial institutions, and financial system as a whole. The Basel Committee on Banking Supervision has developed requirements with respect to holdings of liquid assets as well as stable sources of funding. Critics have questioned the value of such fixed ratio requirements for the prevention of runs on financial institutions and the sudden disappearance of activity in markets for securities.

The editorial office provides several Feature Paper quotas for this Special Issue. When accepted after review, these papers will be published free of charge. Feature paper refers to high-quality paper. It is up to Guest Editors to decide whether to grant full waiver to potential authors.

Should you have any question related to Feature Papers, please feel free to contact the Guest Editors or JRFM’ editorial office ([email protected]).

Dr. James R. Barth
Dr. Clas Wihlborg
Guest Editors

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Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Journal of Risk and Financial Management is an international peer-reviewed open access monthly journal published by MDPI.

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Related Special Issue

Published Papers (5 papers)

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12 pages, 2004 KiB  
Communication
Negative Interest Rates
by Sarkis Joseph Khoury and Poorna C. Pal
J. Risk Financial Manag. 2020, 13(5), 90; https://doi.org/10.3390/jrfm13050090 - 7 May 2020
Cited by 2 | Viewed by 5383
Abstract
Negative interest rates are an invention of monetary authorities to show that monetary activism does not have boundaries, i.e., as if there is no such thing as a liquidity trap. Their presence in the financial landscape has redefined the benefits to savers and [...] Read more.
Negative interest rates are an invention of monetary authorities to show that monetary activism does not have boundaries, i.e., as if there is no such thing as a liquidity trap. Their presence in the financial landscape has redefined the benefits to savers and to investors. Governments can now borrow at will without visibly adding to budget deficits. This makes negative interest borrowing an alternative to raising taxes. Banks can now achieve regulatory compliance partially at the expense of depositors. Commercial banks pay to keep money at the central bank instead of earning interest on it. This paper shows the true nature of negative interest rates and their consequences on various economic agents and performance measures, specifically on economic growth and exchange rates. In addition, this paper demonstrates that the arguments in favor of negative interest rates have been largely exaggerated based on the weight of the evidence that shows the United States, which never issued negative interest rates debt, is a leader among developed countries in terms of economic growth in a non-inflationary environment. Full article
(This article belongs to the Special Issue LIQUIDITY: Efficiency and Stability in Financial Markets - Selected papers from 4th Chapman Conference on Money and Finance.)
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12 pages, 1184 KiB  
Article
Global Bank Capital and Liquidity after 30 Years of Basel Accords
by Harald Benink
J. Risk Financial Manag. 2020, 13(4), 73; https://doi.org/10.3390/jrfm13040073 - 16 Apr 2020
Cited by 4 | Viewed by 3518
Abstract
In this paper we analyze the effectiveness of more than 30 years of efforts by international banking supervisors, working together in the Basel Committee on Banking Supervision, to harmonize capital and liquidity standards for internationally active banks. Notwithstanding the great efforts and progress [...] Read more.
In this paper we analyze the effectiveness of more than 30 years of efforts by international banking supervisors, working together in the Basel Committee on Banking Supervision, to harmonize capital and liquidity standards for internationally active banks. Notwithstanding the great efforts and progress made by international banking supervisors since the financial crisis of 2007–2009, two important issues require further attention. First, although bank capital ratios have been raised significantly since the recent financial crisis, they are still at historically low levels. In a world in which global debt ratios have risen even further during the past decade, this is a worrying signal of fragility in the global financial system. Second, bank liquidity requirements may have become too complex and could also have unintented and unpredictable interaction effects with bank capital requirements. Full article
(This article belongs to the Special Issue LIQUIDITY: Efficiency and Stability in Financial Markets - Selected papers from 4th Chapman Conference on Money and Finance.)
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9 pages, 231 KiB  
Article
Liquidity and Corporate Governance
by Tom Berglund
J. Risk Financial Manag. 2020, 13(3), 54; https://doi.org/10.3390/jrfm13030054 - 10 Mar 2020
Cited by 13 | Viewed by 5455
Abstract
This paper discusses the relationship between stock market liquidity and corporate governance. Both concepts are widely investigated from different angles in the literature. It is generally agreed that they are related so that better corporate governance implies higher liquidity for shares of listed [...] Read more.
This paper discusses the relationship between stock market liquidity and corporate governance. Both concepts are widely investigated from different angles in the literature. It is generally agreed that they are related so that better corporate governance implies higher liquidity for shares of listed companies. However, the importance of good corporate governance for the market liquidity of the share will differ depending on the characteristics of the firm’s business. Good corporate governance will be particularly important in reducing agency problems in firms where the business is subject to a high degree of uncertainty. Proper corporate governance, in other words, matters most for firms where external assessment of the firm’s business prospects is difficult, while it is less important for value creation in firms where the business is easier to understand. Full article
(This article belongs to the Special Issue LIQUIDITY: Efficiency and Stability in Financial Markets - Selected papers from 4th Chapman Conference on Money and Finance.)
14 pages, 2250 KiB  
Article
News-Driven Expectations and Volatility Clustering
by Sabiou M. Inoua
J. Risk Financial Manag. 2020, 13(1), 17; https://doi.org/10.3390/jrfm13010017 - 20 Jan 2020
Cited by 6 | Viewed by 4818
Abstract
Financial volatility obeys two fascinating empirical regularities that apply to various assets, on various markets, and on various time scales: it is fat-tailed (more precisely power-law distributed) and it tends to be clustered in time. Many interesting models have been proposed to account [...] Read more.
Financial volatility obeys two fascinating empirical regularities that apply to various assets, on various markets, and on various time scales: it is fat-tailed (more precisely power-law distributed) and it tends to be clustered in time. Many interesting models have been proposed to account for these regularities, notably agent-based models, which mimic the two empirical laws through a complex mix of nonlinear mechanisms such as traders switching between trading strategies in highly nonlinear way. This paper explains the two regularities simply in terms of traders’ attitudes towards news, an explanation that follows from the very traditional dichotomy of financial market participants, investors versus speculators, whose behaviors are reduced to their simplest forms. Long-run investors’ valuations of an asset are assumed to follow a news-driven random walk, thus capturing the investors’ persistent, long memory of fundamental news. Short-term speculators’ anticipated returns, on the other hand, are assumed to follow a news-driven autoregressive process, capturing their shorter memory of fundamental news, and, by the same token, the feedback intrinsic to the short-sighted, trend-following (or herding) mindset of speculators. These simple, linear models of traders’ expectations explain the two financial regularities in a generic and robust way. Rational expectations, the dominant model of traders’ expectations, is not assumed here, owing to the famous no-speculation, no-trade results. Full article
(This article belongs to the Special Issue LIQUIDITY: Efficiency and Stability in Financial Markets - Selected papers from 4th Chapman Conference on Money and Finance.)
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11 pages, 1670 KiB  
Brief Report
QE versus the Real Problems in the World Economy
by Adrian Blundell-Wignall
J. Risk Financial Manag. 2020, 13(1), 11; https://doi.org/10.3390/jrfm13010011 - 4 Jan 2020
Cited by 2 | Viewed by 3997
Abstract
These notes are based on parts of a keynote address to the Fourth Annual Conference on Money and Finance at Chapman University on 6–7 September 2019. Quantitative easing (QE) policies have been pushed to extremes and extended well beyond their use-by dates to [...] Read more.
These notes are based on parts of a keynote address to the Fourth Annual Conference on Money and Finance at Chapman University on 6–7 September 2019. Quantitative easing (QE) policies have been pushed to extremes and extended well beyond their use-by dates to little plausible effect in achieving the goal of raising inflation and growth. Instead, they are damaging the interbank market (as exemplified by the liquidity crisis in September 2019), adding to the risk of financial crises in the future and taking pressure off policy-makers to deal with the real causes of poor investment, growth and deflation pressure. The shift in where investment is occurring and the special problems of Europe and Brexit are focused upon. Full article
(This article belongs to the Special Issue LIQUIDITY: Efficiency and Stability in Financial Markets - Selected papers from 4th Chapman Conference on Money and Finance.)
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