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Chapter II. How to Address the Systemic Part of Liquidity Risk
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	Summary
	What Is Systemic Liquidity Risk?
	Will Liquidity Rules Under Basel III Lower Systemic Risk?
	Measures of Systemic Liquidity Risk and Potential Macroprudential Tools to Mitigate It
	Summary and Policy Considerations
	Annex 2.1. Methods Used to Compute a Systemic Liquidity Risk Index
	Annex 2.2. Technical Description of the Systemic Risk-Adjusted Liquidity Model
	Annex 2.3. Highlights of the Stress-Testing Framework References
	References

Chapter III. Housing Finance and Financial Stability—Back to Basics?
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	Summary
	Housing Booms and Busts—Theory and Stylized Facts
	Global Housing Finance Landscape
	Housing Finance and Financial Stability
	Conclusions and Policy Implications—Back to Basics
	Annex 3.1. The Impact of Housing Finance Modes on House Prices and Loan-Loss Growth during the Recent Crisis
	Annex 3.2. Evidence on House Prices, Credit, and Housing Finance Characteristics in Advanced Economies
	References

Boxes
	Data	2.1	How Well Does the Net Stable Funding Ratio Predict Banks' Liquidity Problems?
		2.2	How Well Does the Systemic Liquidity Risk Index Explain Banks' Liquidity Problems?
		3.1	The Danish “Balance Principle” Mortgage Model
		3.2	Legal Prerequisites for Housing Finance Systems
		3.3	Experience with Limits on Loan-to-Value Ratios for Residential Mortgages
	Data	3.4	Housing Finance and the U.S. Housing Crisis
		3.5	Emerging Market Mortgage Securitization
		3.6	Empirical Analyses of the Relationships among House Prices, Credit, and Housing Finance Characteristics
		3.7	Mortgage Finance Unbundling and Incentive Misalignments

Tables
		2.1	Factors Used in Calculations
		2.2	Main Features of the Proposed Methodologies
		2.3	Indicators for (Systemic) Liquidity Risk Monitoring
		2.4	Joint Expected Losses from Systemic Liquidity Risk
		2.5	Capital Charge for Individual Liquidity Risk and Individual Contribution to Systemic Liquidity Risk
		2.6	Summary Statistics of Individual Contributions to Systemic Liquidity Risk and Associated Fair Value Insurance Premium
		2.7	Selected Liquidity Stress Testing Frameworks
		2.8	Withdrawal Rate Assumptions
		2.9	Probability of Banks Ending the Simulation with a Liquidity Shortage
		2.10	Capital Surcharges
		2.11	Selected Regulatory Proposals for Managing Systemic Liquidity Risk
		3.1	Crisis Measures
		3.2	Housing Finance Features in Advanced Economies, 2008
		3.3	Housing Finance Systems in Emerging and Newly Industrialized Economies, 2008
		3.4	Mortgage Market Characteristics in Emerging and Newly Industrialized Economies, 2008
		3.5	Index of Government Participation in Housing Finance Markets, 2008
		3.6	Which Housing Finance Features Help Explain Growth in House Prices, Mortgage Credit, and Nonperforming Loans?
		3.7	Joint Determinants of Growth in Real House Prices, Mortgage Credit, and Loan Losses
		3.8	Joint Determinants of Growth in Real House Prices and Mortgage Credit, Pre-Crisis Episode, 2004–07
		3.9	House Prices and Household Bank Credit
		3.10	House Prices, Household Bank Credit, and Macroeconomic Controls
		3.11	House Prices and Housing Finance Characteristics
		3.12	House Prices and Government Participation

Figures
	Data	2.1	Net Stable Funding Ratio by Region
	Data	2.2	Net Stable Funding Ratio by Business Model
	Data	2.3	Net Stable Funding Ratio by Bank, 2009
	Data	2.4	Systemic Liquidity Risk Index
	Data	2.5	Average Sensitivity of Volatility of Banks' Return on Equity to Systemic Liquidity Risk Index
	Data	2.6	Sensitivity of Volatility of Banks’ Return on Equity Based on Market Capitalization to Systemic Liquidity Risk Index
	Data	2.7	Sensitivity of Volatility of Banks' Return on Equity Based on Net Stable Funding Ratio to Systemic Liquidity Risk Index
	Data	2.8	Illustration of Individual Expected Losses Arising from Liquidity Risk
	Data	2.9	Illustration of Joint and Total Expected Shortfalls Arising from Systemic Liquidity Risk
	Data	2.10	Total Loan Reductions
	Data	2.11	Principal Component Analysis: Total Variation Explained by Each Factor
		2.12	Methodology to Compute Systemic Liquidity under the Systemic Risk-Adjusted Liquidity Model
		2.13	Conceptual Relation between the Net Stable Funding Ratio at Market Prices and Expected Losses from Liquidity Risk
		2.14	Conceptual Scheme for the Probability Distribution of Joint Expected Shortfall from Liquidity Risk: Two-Firm (Bivariate) Case
		2.15	Systemic Liquidity Risk ST Framework
	Data	3.1	House Price Indices
	Data	3.2	Government Participation in Housing Finance
	Data	3.3	Government Participation in Housing Finance: Emerging and Newly Industrialized Economies
	Data	3.4	Homeownership Rate and Government Participation in Housing Finance
	Data	3.5	Homeownership Rate
	Data	3.6	Residential Mortgage-Debt-to-GDP Ratio: Advanced Economies
	Data	3.7	Residential Mortgage-Debt-to-GDP Ratio: Emerging Europe
	Data	3.8	Nonperforming Residential Mortgage Loans
	Data	3.9	Home Foreclosures in the United Kingdom and the United States


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