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 …

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 …

. 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 …

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 …

This paper evaluates ways to protect highly dollarized banking systems from systemic liquidity runs (such as the ones … the use of limited dollar liquidity to ensure the convertibility of transactional deposits with a mechanism that … automatically limits the convertibility of dollar term deposits once triggered by a predetermined decline in banks'' liquidity …

We formulate the “High Liquidity Creation Hypothesis” (HLCH) that a proliferation in the core activity of bank … liquidity creation increases failure probability. We test the HLCH in the context of Russian banking, which provides a natural … field experiment due to numerous failures experienced over the past decade. Using Berger and Bouwman’s (2009) liquidity …