recourse to the LOLR facility (a) to derive banks' willingness-to-pay for liquidity through a one-week repo and (b) to show … results suggest (i) that banks' willingness-to-pay for liquidity indeed reflects refinancing conditions in the interbank …

Money markets have two functions, the allocation of liquidity and the processing of information. We develop a model … that due to its size, a large bank receives a more precise signal about the overall liquidity development in the banking … sector. In an upcoming liquidity shortage this large bank can exploit its informational advantage in the spot money market by …

We study differences in the price paid for liquidity across banks using price data at the individual bank level. Unique … to gauge the extent to which a bank is short or long liquidity. We find that the price a bank pays for liquidity depends … on the liquidity positions of other banks, as well as its own. There is evidence that liquidity squeezes occasionally …

We study the prices that individual banks pay for liquidity (captured by borrowing rates in repos with the central bank … depend in particular on the distribution of liquidity across banks, which is calculated over time using individual banklevel … data on reserve requirements and actual holdings. Banks pay more for liquidity when positions are more imbalanced across …

M3. More in general, the paper lends further support to the view that money and 'liquidity' should be assigned an …

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 …