liquidity regulations. Basel III and the capital stress tests introduced new requirements and new definitions while retaining … find that the market pricing of bank debt appears to have responded to changes in liquidity measures, especially at large …

The convention in calculating trading costs in corporate bond markets is to assume that dealers provide liquidity to … provide liquidity in corporate bond markets, and thus, average bid-ask spreads underestimate trading costs that customers … demanding liquidity pay. Compared with periods before the 2008 financial crisis, substantial amounts of liquidity provision have …

parallel to the implementation of Basel III, a non-risk-sensitive leverage ratio and new liquidity standards are introduced. I … their voluntary liquidity reserves, or in combination with a binding liquidity coverage ratio requirement, to shrink the …

regulatory liquidity requirements on bank behavior. A multi-stage decision situation allows for considering the interaction … between credit risk and liquidity risk of banks. This interaction is found to make a risk neutral bank behave as if it were … risk averse in an environment where there is no interbank market and liquidity regulation. Introducing a buoyant interbank …

We investigate 62 Dutch banks' liquidity behaviour between January 2004 and March 2010, when these banks were subject … to a liquidity regulation that is very similar to Basel III's Liquidity Coverage Ratio (LCR). We find that most banks … interaction between capital and liquidity buffers. However, this interaction turns out to be weaker during a crisis. Although not …

This paper examines the linkage between bank liquidity creation and systemic risk. Using quarterly data on U.S. bank … holding companies from 2003 to 2016, we document that liquidity creation decreases systemic risk at the individual bank level …-specific tail risk and systemic linkage, we find that the riskiness of individual banks is negatively linked to liquidity creation …

disrupting the liquidity or stability of mortgage secondary markets. In the process, the programs have created a new financial … market for pricing and trading mortgage credit risk, which has grown in size and liquidity over time. The CRT programs …

financial stability. This paper extends the existing research by zooming in on the specific topic of liquidity provision to … banks in resolution. It examines the provision of liquidity in the United States, the United Kingdom, Japan, Canada and the … liquidity provision and the roles of the public budget and the central bank. The comparison also reveals that the role of fiscal …