shock. Our contagion mechanism operates through a dual channel of liquidity and solvency risk. The joint modelling of banks … and funds provides new insights for the assessment of financial stability risks. Our analysis reveals that adding the fund …

We consider the effects of quantitative easing on liquidity and prices of bonds in a search- and matching model. The … a decline in yields, while they have opposite effects on market liquidity. This results in a price-liquidity trade …-off. Initially, liquidity improves in reaction to central bank demand. As the central bank buys and holds bonds, supply becomes …

. Instead, our results are in line with the hypothesis that a lower trading volume reduces liquidity, and thereby market quality …

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

This paper investigates the relationship between central bank (reverse) auctions and bill market liquidity. The … analysis includes data on the purchases of bills in the auctions by the Dutch Central Bank under the European Central Bank …

-shares of the same fund during the unprecedented liquidity crisis in March 2020. For an average bond or equity mutual fund … collective "dash for cash" by consumers and firms in need of liquidity at the outset of the COVID-19 pandemic was not the source …

behind giving monetary and credit analysis a prominent role in the monetary policy strategy of the ECB. It also points to the …

We use EU sovereign bond yield and CDS spreads daily data to carry out an event study analysis on the reaction of …