We identify frictions in the market for liquidity as well as bank-specific and market-wide factors that affect the … prices that banks pay for liquidity, captured here by borrowing rates in repos with the central bank and benchmarked by the … liquidity. We find that the price a bank pays for liquidity depends on the liquidity positions of other banks, as well as its …

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

discussion of the actual implications for liquidity. In this paper, we provide an approximation of the liquidity development in … information about liquidity risk. …

This paper examines how the bond supply, via primary auctions of the Treasury, influences price and liquidity in the … German Bund. The analysis of intraday quotes shows that there is also a peculiar liquidity effect due to the bond supply … capital constraints and information uncertainty. The sovereign bond crisis exacerbates the dry-up of liquidity for Italy and …

We study the contribution of liquidity to time-series dynamics and cross-sectional variations of Euro area sovereign … crisis. Using intraday trade and quote data we construct several alternative liquidity measures and study their contribution … to yield preads. When we control for standard risk factors, such as credit and term, liquidity does not provide a …

. Cross section fixed effects are applied to first differences and dummy variables. For liquidity and non-liquid assets the … liquidity ratios and creditor ratios decline when short-term ECB-rates fall. If ECB rates are negative, liquidity ratios are ….6% smaller, while liquidity ratios increased by 2.3 percentage points. Originality / value of the article: Papers on the …