In this paper we introduce two measures, the Systemic Liquidity Buffer (SLB) and the Systemic Liquidity Shortfall (SLS …) to assess liquidity in the banking system. The SLB takes an aggregated perspective on liquidity risks in the banking … system. In contrast, the SLS focusses on the problematic banks which suffer a liquidity shortfall. These measures provide an …

Exploiting confidential data on individual German bank balance-sheets, I analyse what characterises a bank that opts to …

We analyze the impact of market liquidity on bank lending in the euro area for different segments over the period 2003 … liquidity has an asymmetric effect on bank lending: The negative impact of a reduction in liquidity is more significant than the … restricted first in times of impaired market liquidity. The bank-level data confirm the strong impact of market liquidity on bank …

’s willingness to pay for liquidity since they had variable rate tenders with a “pay-your-bid” price. Controlling for bank … operations. These findings suggest that incentives to diversify bank liquidity risk dominate the benefits of private information …In this paper, we focus on the interconnectedness of banks and the price they pay for liquidity. We assess how the …

-the-counter markets for liquidity in Germany: the interbank market for credit and for derivatives. We use end-of-quarter data from the …

Mutual funds' exposure to corporate bonds has brought concerns about risks arising from liquidity transformation back … to the fore. With a focus on fund asset liquidity and investors, this paper explores the flow-performance relationship … and the liquidity management of funds in the presence of net redemptions. We highlight the response of fund liquidity …

How does a shock to the liquidity of bank assets affect credit supply, cross-border lending, and real activity at the … firm level? We exploit that, in 2007, the European Central Bank replaced national collateral frameworks by a single list …. This collateral framework shock added loans to non-domestic euro area firms to the pool of eligible assets. Using loan …

We investigate whether idiosyncratic interbank funding shocks affecting a bank headquarters can trigger a liquidity … hoarding reaction by their regional branches. Shock-affected branches of Brazilian banks increase liquid assets and cut lending …-wide freeze. These effects increase in branches' reliance on internal funding and vary depending on banks' access to central bank …

observe a broad-based flight to liquidity. The European Central Bank's unconventional monetary policy had a strong impact on … directly preceding and following the Lehman collapse in September 2008. The default of Lehman Brothers was a shock to the … the change in eligibility criteria for collateral in central bank refinancing operations. Our results show that market …

We study efficiency properties of competitive economies in which banks provide liquidity insurance and interact on … secondary asset markets. While all banks are subject to extrinsic risk, a bank's portfolio choice determines whether it is prone … to a bank run in one of the extrinsic states. Asset prices determine the value of bank assets and thus how to structure …