Jondeau, Eric; Mojon, Benoît; Sahuc, Jean-Guillaume - 2020
policymakers, who need to intervene to prevent the funding liquidity freeze from triggering the bankruptcy of solvent financial … accounts for market participants' expectations of how funding costs will evolve over time. Second, it identifies liquidity … regimes, which coincide with the levels of excess liquidity supplied by central banks. Third, it has much higher predictive …