We propose a model that links the conditional probability of bank failure to insolvency and liquidity risks, and show … that liquidity risk affects bank failures through systematic and idiosyncratic channels. Empirical results based on U … systematic liquidity risk was a major predictor of bank failures in 2008 and 2009. This finding has important implications for …

We measure market reactions to announcements concerning liquidity regulation, a key innovation in the Basel framework …. Our initial results show that liquidity regulation attracts negative abnormal returns. However, the price responses are … consider liquidity regulation to be binding. Bank- and country-specific characteristics also matter. Liquid balance sheets and …

We derive closed form expressions for equilibrium asset prices and liquidity in an economy populated by a finite number … prices. Market liquidity is non-monotonic in funding liquidity and may decrease in the number of investors. In the presence … of liquidity shortage, price impact becomes negative and gives rise to an illiquidity premium in asset prices …

We provide a theory to investigate the implications of time-varying bailout policy for rational bubbles in an infinite … assets can alleviate firms' credit constraint and enhance investment efficiency with additional liquidity. However, asset …

Liquidity risk in banking has been attributed to transactions deposits and their potential to spark runs or panics. We … show instead that transactions deposits help banks hedge liquidity risk from unused loan commitments. Bank stock …. This deposit-lending risk management synergy becomes more powerful during periods of tight liquidity, when nervous …

Liquidity risk in banking has been attributed to transactions deposits and their potential to spark runs or panics. We … show instead that transactions deposits help banks hedge liquidity risk from unused loan commitments. Bank stock …. This deposit-lending risk management synergy becomes more powerful during periods of tight liquidity, when nervous …