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 studies a novel type of misallocation of credit between investments of varying liquidity. One type of …-term welfare and output in a constrained inefficient equilibrium if it raises the liquidity of the liquid type. I show a maximum …

This paper distills and identifies global liquidity (GL) momenta from the macro-financial data of advanced economies … factor-augmented VAR, we investigate responses of emerging market economies (EMEs) to GL shocks. A policy-driven liquidity … account. Inflation targeting EMEs fare better than EMEs under alternative regimes with respect to macrofinancial volatility …

This paper outlines a framework to perform liquidity stress tests for investment funds. Practical aspects related to … the calibration of the redemption shock, the measurement of liquidity buffers and the assessment of the resilience of … investment funds are discussed. The integration of liquidity stress tests with banking sector stress tests and possible bank …

that in the model government bonds are more liquid than private financial assets and that entrepreneurs face liquidity …