In August of 2007, banks faced a freeze in funding liquidity from the asset-backed commercial paper (ABCP) market. We … investigate how banks scrambled for liquidity in response to this freeze and its implications for corporate borrowing. Commercial …

We study liquidity and systemic risk in high-value payment systems. Flows in high-value systems are characterized by … comparative statics analyses on changes to the environment. We find that banks attempting to conserve liquidity cause an increase …

disrupting the liquidity or stability of mortgage secondary markets. In the process, the programs have created a new financial … market for pricing and trading mortgage credit risk, which has grown in size and liquidity over time. The CRT programs …

Pierret (2015) presents empirical analysis of the solvency-liquidity nexus for the banking system, documenting that a …-causes higher solvency risk. These results point toward a tight interaction between solvency and liquidity risk over time. My …

illiquid assets or underprovision of liquidity. We investigate whether imperfect competition (Cournot) improves welfare through … internalizing the externality and find that this is far from guaranteed. In a standard model of liquidity shocks, when liquidity is … sufficiently scarce, Cournot competition leads to even less liquidity than the Walrasian equilibrium. In a standard model of …

-09 financial crisis is often attributed to corporate bond dealers shedding off their inventory, right when liquidity was scarce …, including proprietary trading desks in investment banks, provided liquidity in response to the large selling by clients …. Corporate bond inventory of dealers rose sharply as a result. Although providing liquidity, limits to arbitrage, possibly in the …

We develop a model in which financial intermediaries hold liquidity to protect themselves from shocks. Depending on … parameter values, banks may choose to hold too much or too little liquidity on aggregate compared with the socially optimal … underinsurance against liquidity choice. The model therefore provides a unified framework for thinking, on the one hand, about policy …

We examine liquidity creation per unit of assets by banks subject to the Liquidity Coverage Ratio (LCR) using the … liquidity measures Liquidity Mismatch Index (LMI) (Bai et al., 2018) and BB (Berger and Bouwman, 2009). We identify the LCR …. We find that, since 2013, there has been reduced liquidity creation by LCR banks compared to non-LCR banks, occurring …