In a dual liquidity crisis, both the government and the banking sector are under severe funding stress. By nature … comparative review of underlying liquidity shocks as well as built-in liquidity buffers, including their limits beyond which a … credit crunch materializes. Based on this we are able to (i) make precise the otherwise vague interpretations of liquidity …

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 …

constraints on the functional form of asset liquidity and central bank collateral haircuts. The model allows capturing how asset … liquidity and the central bank collateral framework interact and determine funding market access of banks and the ability of … banks to undertake liquidity and term transformation, which impacts also on monetary conditions. Moreover, the paper …

' funding liquidity and solvency. Both asset liquidity and central bank haircuts are modelled as power functions within the unit … interval. Funding stability is captured as strategic bank run game in pure strategies between depositors. Asset liquidity, the … bank collateral and why a sudden non-anticipated reduction of asset liquidity, or a tightening of the collateral framework …

This paper contributes to the literature on liquidity crises and central banks acting as lenders of last resort by … capturing the mechanics of dual liquidity crises, i.e. funding crises which encompass both the private and the public sector …, within a closed system of financial accounts. We analyze how the elasticity of liquidity provision by a central bank depends …

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 …