Under Basel III rules, banks become subject to a liquidity coverage ratio (LCR) from 2015 onwards, to promote short …-term resilience. We investigate the effects of such liquidity regulation on bank liquid assets and liabilities. Results indicate co …-integration of liquid assets and liabilities, to maintain a minimum short-term liquidity buffer. Still, microprudential regulation …

liquidity. We propose a contract to hedge uncertainty over future transaction costs, detailing potential buyers and sellers …It is well established that investors price market liquidity risk. Yet, there exists no financial claim contingent on …. Introducing liquidity derivatives in Brunnermeier and Pedersen (2009) improves financial stability by mitigating liquidity spirals …

In this paper we introduce two measures, the Systemic Liquidity Buffer (SLB) and the Systemic Liquidity Shortfall (SLS …) to assess liquidity in the banking system. The SLB takes an aggregated perspective on liquidity risks in the banking … system. In contrast, the SLS focusses on the problematic banks which suffer a liquidity shortfall. These measures provide an …

Market liquidity is informative of future corporate defaults but in a nuanced way. A firm's probability of default … increases with market illiquidity only when the firm's funding liquidity is tight and/or solvency position is weak. Such …

costs do not increase as prior trading activity declines. Our results suggest that dealers endogenously adjust their … behavior to mitigate inventory risk from trading in illiquid and higher risk securities, balancing search and inventory costs … in equilibrium such that observed spreads can appear invariant to expected liquidity …

This paper examines the relationship between liquidity and quality of financial information by analyzing long …. Overall, my results indicate a positive relationship between quality of financial information and liquidity …