This paper investigates the relationship between central bank (reverse) auctions and bill market liquidity. The …

We address the question to what extent a central bank can de-risk its balance sheet by unconventional monetary policy … operations. To this end, we propose a novel risk measurement framework to empirically study the time-variation in central bank … generated beneficial risk spill-overs across monetary policy operations, causing overall risk to be nonlinear in exposures. Some …

Liquidity has its systemic aspect that is frequently neglected in research and risk management applications. We build a … model that focuses on systemic aspects of liquidity and its links with solvency conditions accounting for pertinent …

risk. -- Liquidity ; risk ; central bank ; LLR …We discuss the notion of liquidity and liquidity risk within the financial system. We distinguish between three … the root of liquidity risk lies in information asymmetries and the existence of incomplete markets. The role of central …

When a bank receives credit from the central bank, its Liquidity Coverage Ratio (LCR) changes. In most cases, the LCR …

We analyse the impact of the Liquidity Coverage Ratio (LCR) on the demand for central bank reserves in the euro area … crisis and the associated introduction of new liquidity regulation. …

with new Basel III regulations and with central bank policies (liquidity provision, asset purchases and the Securities … with worsening money market conditions, while higher central bank liquidity provision was associated with reduced money …