We discuss the notion of liquidity and liquidity risk within the financial system. We distinguish between three … the root of liquidity risk lies in information asymmetries and the existence of incomplete markets. The role of central … different liquidity types, central bank liquidity, funding and market liquidity and their relevant risks. In order to understand …

financial crisis, in which liquidity shocks become more erratic and the total costs of defaults increase, central banks may want … riskiness of counter parties and issuers is endogenous to the central bank's credit policies and related risk control framework …

' funding liquidity and solvency. Both asset liquidity and central bank haircuts are modelled as power functions within the unit … interval. Funding stability is captured as strategic bank run game in pure strategies between depositors. Asset liquidity, the … bank collateral and why a sudden non-anticipated reduction of asset liquidity, or a tightening of the collateral framework …

We analyse the impact of the Liquidity Coverage Ratio (LCR) on the demand for central bank reserves in the euro area … crisis and the associated introduction of new liquidity regulation …

This paper investigates the impact of ample liquidity provision by the European Central Bank on the functioning of the … main euro area payment system. To identify exogenous shocks to central bank liquidity, we exploit the timing of ECB … liquidity operations and use a simple structural vector auto-regression framework. We argue that the ECB acted as a de …

We study how banks manage their liquidity among the various assets at their disposal. We exploit the introduction of … assets over time. Our results imply that frictions in one market for liquidity can spill over to several markets …

This paper investigates the relationship between central bank (reverse) auctions and bill market liquidity. The …

The paper studies the central bank collateral framework and its impact on banks’ liquidity under an adverse stress test … scenario. We construct a stress test model that accounts for a granular and multi-faceted representation of the liquidity of … Southern European countries. Results show that illiquidity can trigger insolvency and that liquidity adjustment can last …

The paper analyses and compares the role that the tightening in liquidity conditions and the collapse in risk appetite … empirical exercise with a Global VAR approach, the findings highlight the diversity of the transmission process. While liquidity … shocks have had a more severe impact on advanced economies, it was mainly the decline in risk appetite that affected emerging …