A natural liquidity mismatch emerges when liquid exchange traded funds (ETFs) hold relatively illiquid assets. We … provide a theory and empirical evidence showing that this liquidity mismatch can reduce market efficiency and increase the … conflict is small, liquidity mismatch reduces the arbitrage capacity of ETFs; as the conflict increases, an inventory …

The paper reports the outcome of the stress-testing of liquidity risk in the TARGET2 payment system, with the study … resilience of the system, defined as the network of its participants, and the appropriateness of liquidity levels under tightened … liquidity conditions. The scenarios analysed are based on extreme shocks to the value of collateral of different levels and …

There are competing arguments about the likely effects of Sovereign Bond-Backed Securitisation on the liquidity of … sovereign bond markets. By analysing hedging and diversification opportunities, this paper shows that positive liquidity …

This study provides a conceptual and monitoring framework for systemic liquidity, as well as a legal assessment of the … possible use of macroprudential liquidity tools in the European Union. It complements previous work on liquidity and focuses on … the development of liquidity risk at the system-wide level. A dashboard with a total of 20 indicators is developed for the …

that governments act as macro-liquidity providers across maturities, thereby adding significant risk absorption capacity to …

This paper contributes to the debate on liquidity in resolution by providing a quantitative assessment of liquidity … gaps of banks in resolution in the euro area. It estimates possible ranges of liquidity gaps for significant banks under … different assumptions and scenarios. The findings suggest that, while the average liquidity gaps in resolution are limited, the …

We revisit a central task of the extant liquidity literature, which is to identify effective measures of liquidity, in … of identifying the best liquidity measures based on monthly correlations by comparing and contrasting correlations … between monthly and daily averages of high-frequency benchmarks and low-frequency proxies of liquidity, as well as by …