I study rollover risk in the wholesale funding market when intermediaries can hold liquidity ex-ante and are subject to … fire sales ex-post. I demonstrate that precautionary liquidity restores multiple equilibria in a global rollover game. An … intermediate liquidity level supports both the usual run equilibrium and an efficient equilibrium. I provide a uniqueness …

eurozone. My results also suggest that these shocks are a plausible source of aggregate risk that could explain business cycle …

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 …

frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' liquidity … consumption decisions traders demand more liquidity when the market becomes less liquid, which in turn makes the market more … illiquid, fostering the initial demand hike. This can generate market instability, where an initial dearth of liquidity …

. Instead, our results are in line with the hypothesis that a lower trading volume reduces liquidity, and thereby market quality …

with endogenous risk-taking and capital accumulation. Agents form diagnostic expectations about future stochastic outcomes …

aggregate risk and smooth consumption through savings and consumer loans intermediated by banks. The banking friction introduces …

risk. In this framework, banking sector distress in the form of the joint probability of default of financial … this dependence of banking sector distress on prevailing financial imbalances can enhance risk surveillance and stress …