, the equilibrium loan rate spread increases, which raises bank profitability and the market-to-book value of bank capital … model’s dynamic implications in a panel VAR estimation, which suggests that bank lending has even increased in the long …

choose their portfolio risk, bank size, and capital holdings. Banks voluntarily hold equity when the buffer effect against … larger, choose riskier portfolios, and have less equity. Binding capital requirements or levies on bank borrowing are shown …

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 … occur and short banks pay more the larger is the potential for a squeeze. The price paid for liquidity is decreasing in bank …

During the last decades a consensus has emerged that it is impossible to disentangle liquidity shocks from solvency … developed considering this new paradigm and discuss how institutional features relating to bank closure policy influences lender …

In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy … liquidity risk, credit risk (financial and sovereign), and interest rate expectations. Our results suggest that liquidity risk … is the main determinant of the volatility of the policy spread, but also that private bank credit risk has become more …

This paper studies the role of a lender of last resort (LLR) in a monetary model where a shortage of bank’s monetary … lending rate, liquidity requirements and constructive ambiguity …

This paper studies the role of a lender of last resort (LLR) in a monetary model where a shortage of a bank’s monetary … reserves (a liquidity crisis) occurs endogenously. We show that discount window lending by the LLR is welfare-improving but … reduces banks’ ex-ante incentive to hold monetary reserves, which increases the probability of a liquidity crisis, and can …