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

approximations of two proposed macro-measures, the liquidity stress index and the concentration index, both capturing the dynamics of …

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 …

The interplay between liquidity and credit risks in the interbank market is analyzed. Banks are hit by idiosyncratic … random liquidity shocks. The market may also be hit by a bad news at a future date, implying the insolvency of some … possible contingency, banks currently long of liquidity ask a liquidity premium for lending beyond a short maturity, as a …

incorporate credit and liquidity risks. Indeed, a bank that lends on the unsecured market requires compensations for facing (a … us to decompose the whole term structure of spreads into credit and liquidity components. Our no-arbitrage econometric … recent easing in the euro interbank market comes from a decrease in liquidity-related risk premia …

demand for liquidity in the interbank market as wells as banks' access to this market. Results indicate that riskier banks … pay higher prices and borrow less liquidity, concurrent with the existence of market discipline. More capitalized and … higher prices and hoard liquidity when liquidity positions across them are more imbalanced and during a monetary policy …

toxic assets obstructed the pipes. Banks were forced to squeeze liquidity in a 'lemons market' or to ask for liquidity 'on … and liquidity risk and then evaluates the decomposition. The main finding is that credit risk increased before the key … events of the crisis, while liquidity risk was mainly responsible for the subsequent increases in the Euribor spread and then …

This paper examines the impact of exogenous liquidity shocks on banks borrowing funds in the interbank market. We … evaluate the effects of idiosyncratic liquidity shocks — arising from deposits outflow at the bank level — and of the aggregate … liquidity shock related to the U.S. tapering observed in May 2013. We find that both liquidity shocks are associated with higher …

We examine the system-wide effects of liquidity regulation on banks’ balance sheets. In the general equilibrium model … value before maturity, e.g., structured securities. By improving the liquidity of interbank markets, tighter liquidity … requirements induce banks to invest in such complex assets. We evaluate the welfare properties of combining liquidity regulation …