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 …

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 …

loans before maturity when in need of liquidity. Loan guarantees improve market liquidity and reduce lending standards, with … market liquidity of these loans due to both selection and commitment. Because of this positive pecuniary externality …

risk-sensitive solvency constraint. They seek to allocate funds to asset managers (AMs) that provide diversification when … assets and/or deplete cash holdings, if available. Dealer banks can purchase risky assets, thus providing market liquidity … depress risk-adjusted returns delivered by AMs to IIs, forcing the latter to de-risk. We show that a macroprudential approach …

lending generates bank asset returns with limited upside but significant downside risk. The asymmetric distribution of these …

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

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 …

We examine the existence of physical and transition climate risk premia in euro areaequity markets. To do so, we … develop two novel physical and transition risk indicators, basedon text analysis, which are then used to gauge the presence of … climate risk premia. Resultssuggest that climate risk premia for both, transition and physical climate risk, have …