This paper shows that funding liquidity risk is priced in the cross-section of excess returns on agency mortgage …-backed securities (MBS). We derive a measure of funding liquidity risk from dollar-roll implied financing rates (IFRs), which reflect … liquidity shocks embedded in the IFRs is compensated in the cross-section of expected excess returns| agency MBS that are better …

during the 19th century to facilitate interregional payments and flows of liquidity and credit. Vast sums moved through the … the system's resilience to solvency and liquidity shocks and whether these shocks might have been contagious. We find that … the interbank system became more resilient to solvency shocks but less resilient to liquidity shocks as banks sharply …

We study the capacity of the banking system to provide liquidity to the corporate sector in times of stress and how … changes in this capacity affect corporate liquidity management. We show that the contractual arrangements among banks in loan … syndicates co-insure liquidity risks of credit line drawdowns and generate a network of interbank exposures. We develop a simple …

We reexamine the relative effects of credit risk and liquidity in the interbank market using bank-level panel data on … sensitive to credit risk at the peak of the crisis. However, liquidity premia constitute the bulk of those spreads on average …, and Federal Reserve interventions coincide with improvements in liquidity at short maturities. Accounting for misreporting …

We study the relationship between volatility and liquidity in the market for on-the-run Treasury securities using a … to volatility in future, perhaps because liquidity is more reliant on high-speed quote replenishment and is therefore …

they mitigate credit risk, CCPs create liquidity risks, because they require participants to provide cash. Such … requirements increase with market volatility; consequently, CCP liquidity needs are inherently procyclical. This procyclicality …. Liquidity-focused macroprudential stress tests could help to assess and manage this systemic liquidity risk …

and that banks with liquidity concerns are attracted rather than those prone to risk-taking and moral hazard incentives … evaluate whether banks used LOLR assistance to improve their liquidity needs using a novel trivariate model with recursive … borrowers to separate into different groups of banks that ex-post revealed their liquidity preferences. This finding sheds light …

money that cannot be duplicated when only one type is used. Inside money provides liquidity that increases the frequency of …

We examine the transmission of liquidity across the supply chain during the 2007-09 financial crisis, a period of … liquidity to their own suppliers. The main determinant of the usage of short-term financing is a product market shock. Firms … monitoring of creditors by suppliers. The lack of liquidity provision to suppliers by high demand firms is likely due to the high …