Professor Tatiana Damjanovic tatiana.damjanovic@durham.ac.uk
Professor
The conventional model of bank liquidity risk management predicts a negative relation between the risk free rate and the money multiplier. We extend that model to reflect credit, or loan book, risk. We find that credit risk model predicts a positive correlation between the risk free rate and the money multiplier, other things constant. In the pre-financial crisis period the liquidity risk view fits the data better whilst in the post-crisis period, the credit risk management model is more appropriate in explaining the relationship between the money multiplier and the risk free rate. In addition, the model implies that the money multiplier should increase with stock market return and decline with its volatility. We provide evidence that this is indeed the case.
Damjanovic, T., Damjanovic, V., & Nolan, C. (2016). Risk Management and the Money Multiplier
Working Paper Type | Working Paper |
---|---|
Publication Date | Jan 1, 2016 |
Deposit Date | May 26, 2017 |
Publicly Available Date | Jun 26, 2019 |
Series Title | Centre for economic growth and policy working papers |
Public URL | https://durham-repository.worktribe.com/output/1168908 |
Publisher URL | https://www.dur.ac.uk/resources/business/working-papers/DDN_money_multiplier.pdf |
Published Working Paper
(390 Kb)
PDF
Unconditionally Optimal Ramsey policy
(2017)
Preprint / Working Paper
The Macroeconomic Implications of Firm Selection
(2018)
Preprint / Working Paper
Default, bailouts and the vertical structure of financial intermediaries
(2020)
Journal Article
ON THE POSSIBILITY OF PARETO-IMPROVING PENSION REFORM
(2006)
Journal Article
About Durham Research Online (DRO)
Administrator e-mail: dro.admin@durham.ac.uk
This application uses the following open-source libraries:
Apache License Version 2.0 (http://www.apache.org/licenses/)
Apache License Version 2.0 (http://www.apache.org/licenses/)
SIL OFL 1.1 (http://scripts.sil.org/OFL)
MIT License (http://opensource.org/licenses/mit-license.html)
CC BY 3.0 ( http://creativecommons.org/licenses/by/3.0/)
Powered by Worktribe © 2024
Advanced Search