of runs on brown assets. We show that runs can be contained by a liquidity backstop with an access fee that depends on … the firm’s carbon intensity, while the interest rate on the liquidity lent through this facility is independent from its …

This paper proposes a positive theory of the links between banks' capitalisation and their liquidity risk taking, the … extent of fire-sale problems, and the severity of liquidity crises. In a basic framework with a single bank, we find that … banks' incentives to hold liquidity for precautionary reasons are increasing with their capital. In a continuum …

Making use of a structural model that allows for optimal liquidity management, we study the role that repos play in a … depositor preference rule. We also analyze the impact of a liquidity coverage ratio, payout restrictions and a leverage ratio on …

We develop a dynamic model of banking to assess the effects of liquidity and leverage requirements on banks' insolvency … regulatory requirements. Our analytic characterization of the bank policy choices shows that imposing solely liquidity … requirements leads to lower bank losses in default at the cost of an increased likelihood of default. Combining liquidity …

We show that liquidity risk is priced in the cross section of returns on credit default swaps (CDSs). We measure CDS … constituents' CDS spreads, and we construct a tradable liquidity factor from returns on index arbitrage strategies. CDS contracts … with higher liquidity exposures have higher expected excess returns for sellers of credit protection and trade with wider …

-term investors are sensitive to interest rate movements and supply liquidity, whereas mutual funds, with shorter investment horizon … and benchmark constraints, demand liquidity. Price impact increased post-crisis for all institutions and has remained … higher than the pre-crisis levels, signaling a general decline in bond market liquidity due perhaps to regulatory changes in …

Whether proprietary traders provide or take liquidity, and how their behavior evolves over the business cycle and … traders concentrate their trades in large and liquid stocks, but even in these, their liquidity provision is minimal. When … intermediary balance sheets are weak, proprietary traders do not provide any liquidity. Furthermore, proprietary traders do not …