The paper studies the central bank collateral framework and its impact on banks' liquidity under an adverse stress test … scenario. We construct a stress test model that accounts for a granular and multi-faceted representation of the liquidity of … Southern European countries. Results show that illiquidity can trigger insolvency and that liquidity adjustment can last …

the credit risk of their corporate loan portfolios when the latter are used as collateral in the Eurosystem's monetary … actually used as Eurosystem collateral, particularly for large loans. The less conservative estimates of risk by IRBs relative … to ICASs can be partly explained by banks' liquidity constraints, but not by their degree of capitalisation. Overall, our …

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. …

national liquidity requirement pledge more and less liquid collateral than banks with a preceding national liquidity …We analyze the pledging behavior of Euro area banks during the introduction of the liquidity coverage ratio (LCR). The … their regulatory ratio by altering their collateral pledging with the European Central Bank. We use the existence of …

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

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 …

We study how banks manage their liquidity among the various assets at their disposal. We exploit the introduction of … assets over time. Our results imply that frictions in one market for liquidity can spill over to several markets. …

Eurosystem against non-HQLA collateral. This paper quantifies the extent of this liquidity transformation and finds that on … pledged vs new collateral, and the second approach compares the liquidity profile of the pool of pledged securities with banks … intentional liquidity transformation using two novel approaches: The first approach compares the liquidity profile of already …