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Liquidity requirements and the interbank loan market : an experimental investigation
Davis, Douglas D.; Korenok, Oleg; Lightle, John P.; … - In: Journal of monetary economics 115 (2020), pp. 113-126
Persistent link: https://www.econbiz.de/10012372985
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Multiplex interbank networks and systemic importance : an application to European data
Aldasoro, Iñaki; Alves, Iván - 2016
Research on interbank networks and systemic importance is starting to recognise that the web of exposures linking banks balance sheets is more complex than the single-layer-of-exposure approach. We use data on exposures between large European banks broken down by both maturity and instrument...
Persistent link: https://www.econbiz.de/10011975150
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Systemic illiquidity in the interbank network
Ferrara, Gerardo; Langfield, Sam; Liu, Zijun; Ota, Tomohiro - 2018
We study systemic illiquidity using a unique dataset on banks' daily cash flows, short-term interbank funding and liquid asset buffers. Failure to roll-over short-term funding or repay obligations when they fall due generates an externality in the form of systemic illiquidity. We simulate a...
Persistent link: https://www.econbiz.de/10011978830
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Macroprudential policy with liquidity panics
Garcia-Macia, Daniel; Villacorta, Alonso - 2016
of a freeze, inducing firms to hoard even more liquid assets. Liquidity panics provide a new rationale for stricter … liquidity requirements, as this policy alleviates the informational frictions in the banking sector and paradoxically can end up …
Persistent link: https://www.econbiz.de/10011975272
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Predatory trading, stigma and the Fed's Term Auction facility
La'O, Jennifer - In: Journal of monetary economics 65 (2014), pp. 57-75
Persistent link: https://www.econbiz.de/10010485268
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Strategic complementarity in banks' funding liquidity choices and financial stability
Silva, André - 2016
This paper examines whether banks' liquidity and maturity mismatch decisions are affected by the choices of competitors … and the impact of these coordinated funding liquidity policies on financial stability. Using a novel identification … strategy where interactions are structured through decision networks, I show that banks do consider their peers' liquidity …
Persistent link: https://www.econbiz.de/10011975055
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The (unintended?) consequences of the largest liquidity injection ever
Crosignani, Matteo; Faria-e-Castro, Miguel; Fonseca, Luís - 2016
We study the design of lender of last resort interventions and show that the provision of long-term liquidity …-term domestic government bonds that could be pledged to obtain central bank liquidity. This "collateral trade" effect is large, as …
Persistent link: https://www.econbiz.de/10011975661
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A dynamic theory of mutual fund runs and liquidity management
Zeng, Yao - 2017
I model an open-end mutual fund investing in illiquid assets and show that the fund's endogenous cash management can generate shareholder runs even with a flexible NAV. The fund optimally re-builds its cash buffers at time t + 1 after outflows at t to prevent future forced sales of illiquid...
Persistent link: https://www.econbiz.de/10011976823
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What drives sovereign debt portfolios of banks in a crisis context?
Lamas, Matías; Mencía, Javier - 2019
strong link is present between central bank liquidity support and sovereign holdings, opportunistic strategies or reach … advantage of their higher risk-bearing capacity to gain exposure (via central bank liquidity) to the set of riskier sovereign …
Persistent link: https://www.econbiz.de/10011978836
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A simple general equilibrium model of large excess reserves
Ennis, Huberto M. - In: Journal of monetary economics 98 (2018), pp. 50-65
Persistent link: https://www.econbiz.de/10012109008