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 …

help explain the response of central banks to the crisis, and suggest potential improvements in the auction formats of …

help explain the response of central banks to the crisis, and suggest potential improvements in the auction formats of …