Liquidity has its systemic aspect that is frequently neglected in research and risk management applications. We build a … model that focuses on systemic aspects of liquidity and its links with solvency conditions accounting for pertinent … account in a stylised fashion. In particular, we investigate the importance of the channels through which the funding shock to …

' funding structures jointly with that in their excess liquidity holdings. We find evidence that banks highly exposed to the …, importantly, the explicit consideration of the role of excess liquidity in our analysis …

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 …

reliance on retail deposit funding and the level of excess liquidity holdings may increase banks’ responsiveness to NIRP. We … deposits tends to be floored at zero, which limits the transmission of policy rate cuts to bank funding costs. We investigate … segments. We are the first to document the importance of banks’ excess liquidity holdings for the effectiveness of NIRP …

be attributed to CDS market liquidity, local stock returns, and overall risk aversion. By contrast, the impact of shocks …