to liquidity risk contracted their supply of credit more sharply. I contribute to the identification of this effect by … relying on the use of micro-level data on US mortgage loan applications, which allows me to identify liquidity risk as an …

liquidity risk. Using a unique data set consisting of all bids in the main refinancing operation auctions conducted at the ECB …Funding liquidity risk has played a key role in all historical banking crises. Nevertheless, a measure based on … reveals funding liquidity risk. We can extract an insurance premium from banks' bids which we propose as measure of funding …

The pre-crisis period was characterised by ample liquidity, a credit boom, and low yields in a wide range of asset … relation between liquidity and the excessive accumulation of risks remains a central policy question. How do credit booms …

debt. This perspective explains among other things why opacity often enhances liquidity in credit markets and therefore why …

This paper studies the choice between building liquidity buffers and raising funding ex post, to deal with liquidity … shocks. We uncover the possibility of an inefficient liquidity squeeze equilibrium. Agents typically choose to build smaller … liquidity buffers when they expect cheap funding. However, when agents hold smaller liquidity buffers, they can raise less …

We examine the liquidity effects of the euro area sovereign debt crisis, including its effects on euro area banks as a … group, on intra-euro area financial flows, on the supply of and demand for collateral, and on international liquidity. The … deficit countries and its collateral policy. The euro crisis has also created international liquidity stresses. We find that …