I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several … liquidity risk factor. Results show that the level of bank returns is not directly affected by the SLRI, but their volatility … increases when liquidity conditions deteriorate. I do not find a strong association between bank size and exposure to the SLRI …

. Liquidity stress tests have been applied in parallel to and independently from solvency stress tests, based on scenarios which … testing of solvency and liquidity: our approach exploits the mechanisms underlying the solvency-liquidity nexus to derive … relations between solvency shocks and liquidity shocks. These relations are then used to model liquidity and solvency risk in a …

and liquidity needs facing the U.S. corporate sector based on projections of net income, availability and cost of funding … segment and the relatively long duration of that sector's debt, the near-term liquidity needs of these corporates appear …

The paper presents a framework to integrate liquidity and solvency stress tests. An empirical study based on European … bond trading data finds that asset sales haircuts depend on the total amount of assets sold and general liquidity … conditions in the market. To account for variations in market liquidity, the study uses Markov regime-switching models and links …

What is global liquidity and how does it affect an economy? The paper addresses that question by looking at liquidity … from two different perspectives: global liquidity as availability of funds in safe and risky asset markets. This … policy to restore a function of risky asset markets. To analyze the effect of global liquidity, I construct proxy variables …

Quantitative easing could improve market liquidity through many channels such as relaxing bank funding constraints …, increasing risk appetite, and facilitating trades. However, it can also reduce market liquidity when the increase in the central …) effects of the Bank of Japan (BOJ)'s JGB purchases on market liquidity. Moreover, we also find evidence that such scarcity …

This paper examines the drivers of liquidity shortages in the Mexican government bond market. We use unique transaction …- and quote level data with information on end-investors to construct an index of bond market liquidity. We find that … liquidity remained stable in recent years, although temporary shortages arose amid domestic and global market stress. The …

Much recent commentary suggests that global liquidity has influenced financial conditions in the major international … markets to an important degree, and that excess liquidity in one financial center can influence financial conditions elsewhere …. Little formal research has addressed these issues, however. In this paper, we use three indexes of liquidity (money growth …

This paper constructs new indicators of liquidity for equity, bond and money markets in major advanced and emerging … evidence of an historical increase in market liquidity since the early 1990s, in part as a result of advances in international … financial integration, but markets have been increasingly exposed to global systemic liquidity shocks. Second, liquidity …