network. We first provide a characterization of the unique equilibrium of banks' liquidity holdings for any network of credit … aggregate liquidity holdings. This incurs an implicit cost, since these funds could be invested in the more productive illiquid …

-the-counter markets for liquidity in Germany: the interbank market for credit and for derivatives. We use end-of-quarter data from the …

In this paper, we focus on the interconnectedness of banks and the price they pay for liquidity. We assess how the … to meet its liquidity demand. We use quarterly data of bilateral interbank credit exposures between all German banks from …’s willingness to pay for liquidity since they had variable rate tenders with a “pay-your-bid” price. Controlling for bank …

policy and therefore ultimately the real economy. In particular, it facilitates banks' liquidity management. This paper aims … at extending the literature which views interbank markets as mutual liquidity insurance mechanism by taking into account … persistence of liquidity shocks. Following a theory of long-term interbank funding a financial system which is modeled as a micro …

idiosyncratic liquidity shock, banks engage in bilateral lending to form an interbank network. We establish that the resulting …This paper develops a model of interbank lending based on liquidity and profitability considerations of homogeneous …

study liquidity reallocation in this interbank network using a novel dataset of all interbank loans settled between European … banks. We show the existence of a centrality premium when banks act as intermediaries of liquidity: banks with a one …

Banks may be reluctant to remove bad loans from their portfolios during liquidity shortfalls, giving rise to a moral … hazard problem. In this paper, we analyze how liquidity shortages affect the ability of the interbank market to provide … liquidity in a moral hazard setting. We distinguish two types of liquidity shocks that arise due to a deposit flight (a …

liquidity shock related to the U.S. tapering observed in May 2013. We find that both liquidity shocks are associated with higher …This paper examines the impact of exogenous liquidity shocks on banks borrowing funds in the interbank market. We … evaluate the effects of idiosyncratic liquidity shocks — arising from deposits outflow at the bank level — and of the aggregate …

We formulate a model of the banking system in which banks control both their supply of liquidity, through cash holdings …, and their exposures to risky interbank loans. The value of interbank loans jumps when banks suffer liquidity shortages …, which can be caused by the arrival of large enough liquidity shocks. In two distinct settings, we compute the unique optimal …

We examine the effect of liquidity imbalances on liquidity risk using 224 bank exits from interbank markets between … liquidity, especially when net placers exit an interbank market. Moreover, we also show that banks try to improve their position … by selling the most liquid assets, which due to the limited capital on the market leads to a liquidity crunch. Finally …