network. We first provide a characterization of the unique equilibrium of banks' liquidity holdings for any network of credit … aggregate liquidity holdings. This incurs an implicit cost, since these funds could be invested in the more productive illiquid …

market. Banks are subject to random liquidity shocks and can form links with potential trading partners to bilaterally Nash …

market. Banks are subject to random liquidity shocks and can form links with potential trading partners to bilaterally Nash …

-the-counter markets for liquidity in Germany: the interbank market for credit and for derivatives. We use end-of-quarter data from the …

This paper aims to shed light on the systemic nature of liquidity risk and to propose a method for calculating systemic … liquidity shortages. Our method incorporates not only direct liquidity shortages but also indirect liquidity shortages due to … a deficit bank can mitigate a liquidity shortage by holding more claims on a surplus bank. Meanwhile, a greater …

This paper aims to shed light on the systemic nature of liquidity risk and to propose a method for calculating systemic … liquidity shortages. Our method incorporates not only direct liquidity shortages but also indirect liquidity shortages due to … a deficit bank can mitigate a liquidity shortage by holding more claims on a surplus bank. Meanwhile, a greater …

In this paper, we focus on the interconnectedness of banks and the price they pay for liquidity. We assess how the … to meet its liquidity demand. We use quarterly data of bilateral interbank credit exposures between all German banks from …’s willingness to pay for liquidity since they had variable rate tenders with a “pay-your-bid” price. Controlling for bank …