We empirically investigate why wholesale funding is fragile by providing the first study of how individual banks borrow and lend in the euro unsecured and secured interbank market. Consistent with theories in which lenders enforce market discipline by monitoring counterparty credit risk and...

The search for a market design that ensures stable bank funding is at the top of regulators' policy agenda. This paper empirically shows that the central counterparty (CCP)-based euro interbank repo market features this stability. Using a unique and comprehensive data set, we show that the...

This supplemental appendix extends the results in Mancini, Ranaldo, and Wrampelmeyer (2015) by presenting additional analyses and robustness checks. It also describes the procedure to construct proxies for the volume-weighted average haircuts applied by the ECB and Eurex Repo.The paper "The Euro...

This supplemental appendix extends the results in Di Filippo, Ranaldo, and Wrampelmeyer (2015) by providing additional background information, analyses, and robustness checks.The paper "Unsecured and Secured Funding" to which these Appendices apply is available at the following URL:...

The appendices for this paper may be found here: https://ssrn.com/abstract=3746406.We study how individual banks borrow and lend in the euro unsecured and secured interbank market. We find that banks with lower credit worthiness replace unsecured with secured borrowing, which is consistent with...

We empirically investigate why wholesale funding is fragile by providing the first study of how individual banks borrow and lend in the euro unsecured and secured interbank market. Consistent with theories in which lenders enforce market discipline by monitoring counterparty credit risk and...

The search for a market design that ensures stable bank funding is at the top of regulators' policy agenda. This paper empirically shows that an important part of the European money market features this quality, namely the central counterparty (CCP)-based euro interbank repo market. Using a...

This paper develops a liquidity measure tailored to the foreign exchange (FX) market, quanties the amount of commonality in liquidity across dierent exchange rates, and determines theextent of liquidity risk premiums embedded in FX returns. The new liquidity measure utilizesultra high frequency...

Using a novel and comprehensive dataset, we provide the first systematic study of liquidity in the foreign exchange (FX) market. Contrary to common perceptions, we find significant variation in liquidity across exchange rates, substantial costs due to FX illiquidity, and strong commonality in...

This supplemental appendix extends the results in Mancini, Ranaldo, and Wrampelmeyer (2011), presenting additional analyses and robustness checks. It also describes the cleaning procedure of the EBS data, compares EBS to other datasets, and discusses the robust estimation of the price impact model