find significant changes in the composition of liquidity providers: hedge funds buy a large share of the issue outside pre …-MPC windows, but they shy away from liquidity provision in pre-MPC windows, being replaced by less speculative investors such as … liquidity providers before high-informational events, which can also explain the price drift observed in the data …

correspondent bank. Settling payments directly on the system imposes liquidity costs which depend on the maximum liquidity overdraft … recoup liquidity costs and to extract a profit. We specify a protocol whereby one bank in each period can revisit its choice …-correspondent network. We simulate this protocol, observing the emergence of different network structures. The liquidity pricing regime …

intraday liquidity management. A model is developed to compare the performance of two different mechanisms to reduce payment … better outcome unless the payment system experiences a system-wide liquidity shock. We show that settlement delay can be … socially efficient, contrary to general understanding of the literature, when it reduces the aggregate cost of liquidity. The …

The endogenous evolution of liquidity risk is a key driver of financial crises. This paper models liquidity feedbacks … undermining confidence. Stressed banks' defensive actions include liquidity hoarding and asset fire sales. This behaviour can … which these channels of contagion operate, and conduct illustrative simulations to show how liquidity feedbacks may markedly …

We examine how banks' cross-border lending reacts to changes in liquidity regulation using a new dataset on Individual … Liquidity Guidance (ILG), which was enacted in the UK from 2000 to 2015 and is similar to the Basel III Liquidity Coverage Ratio …. A one percentage point increase in liquidity requirements to total assets reduces UK resident banks' cross …