Di Nicolo, G.; Gamba, A.; Lucchetta, M. - Tilburg University, Center for Economic Research - 2011
This paper formulates a dynamic model of a bank exposed to both credit and liquidity risk, which can resolve financial … capital regulation, liquidity requirements and taxation on banks' optimal policies and metrics of efficiency of intermediation … stringent. Second, liquidity requirements reduce bank lending, efficiency and social value significantly, they nullify the …