liquidity risk and characterizes them. Both a solvency (leverage) and a liquidity ratio are required to control the … fund managers are more conservative the liquidity requirement has to be strengthened while the solvency one relaxed. Higher … financial intermediary is opaque) and, correspondingly, liquidity requirements should be tightened. The model is applied to …

This paper introduces agent heterogeneity, liquidity, and endogenous default to a DSGE framework. Our model allows for … the economy. Due to liquidity and endogenous default, the transmission mechanism of shocks is well defined, and their …

, 2008), this paper analyses the adequate policy response to endogenous systemic liquidity risk. We analyse the feedback … inferior to imposing minimum liquidity standards ex ante combined with lender of last resort policy. -- liquidity risk ; free …Traditionally, aggregate liquidity shocks are modelled as exogenous events. Extending our previous work (Cao & Illing …

. There are two main results: First, if all banks have enough liquidity so that they can honor their short-term obligations, a … financial transactions tax is entirely neutral. Second, in a model with correlated investment risk and short-term financing of …

characterized by higher uncertainty and geopolitical risk, tighter credit and liquidity conditions, and sluggish economic and real …

ante risk assessment and derive risk premia for every balance sheet item where liabilities are differentiated according to … priority rights. We find that risk premia reflect both idiosyncratic risk and risk of contagion (network risk). Moreover, we … show that network risk magnifies the gap between the risk premia of equity and debt. We also perform comparative statics …

the risk-free rate. This allows us to discuss several policy measures. Capital requirements and a correctly implemented …