This paper analyzes the impact of a liquidity requirement similar to the Basel 3 Liquidity Coverage Ratio (LCR) on the … banks from 2005 to 2011, we show that banks which are just above/below their short-term regulatory liquidity requirement pay … liquidity requirement's 30 day horizon. Being close to the minimum liquidity requirement induces banks to increase borrowing …

Market liquidity is typically characterized by a number of ad hoc metrics, such as depth, volume, bid-ask spreads etc … grounds. In this paper we propose a welfare-based denition of liquidity and characterize its relationship to the usual proxies … intermediaries pursue prot opportunities by providing intermediation services (i.e. "liquidity") in exchange for an endogenous fee …

identical, implying that the concentration of liquidity in one asset is socially desirable. At the same time, too many buyers …

The Basel 3 Liquidity Coverage Ratio (LCR) is a micro prudential instrument to strengthen the liquidity position of … regulatory rule can have negative externalities. We simulate the systemic implications of the LCR by a liquidity stress …

This paper analyzes the impact of a liquidity requirement similar to the Basel 3 Liquidity Coverage Ratio (LCR) on … find that banks which are just above/below their quantitative liquidity requirement do not charge higher interest rates for …

We assess the determinants of banks' liquidity holdings using balance sheet data for nearly 7000 banks from 30 OECD … banks' liquidity risk management. Our main question is whether the presence of liquidity regulation substitutes or … complements banks' incentives to hold liquid assets. Our results reveal that in the absence of liquidity regulation, the …

We investigate 62 Dutch banks' liquidity behaviour between January 2004 and March 2010, when these banks were subject … to a liquidity regulation that is very similar to Basel III's Liquidity Coverage Ratio (LCR). We find that most banks … interaction between capital and liquidity buffers. However, this interaction turns out to be weaker during a crisis. Although not …

Market liquidity is typically characterized by a number of ad hoc metrics, such as depth (or market impact), volume … the existing metrics on welfare grounds. In this paper we propose a welfare-based denition of liquidity and characterize … intermedia- tion services (i.e. \liquidity") in exchange for an endogenous fee. Our model is well suited to study the contagion …

policy to mitigate liquidity risk. We inspect the LTD trends and cycles of 11 euro area countries by filtering methods and …