Fecht, Falko; Nyborg, Kjell G.; Rocholl, Jörg - CESifo - 2009
We study differences in the price paid for liquidity across banks using price data at the individual bank level. Unique … on the liquidity positions of other banks, as well as its own. There is evidence that liquidity squeezes occasionally … occur and short banks pay more the larger is the potential for a squeeze. The price paid for liquidity is decreasing in bank …