This paper investigates liquidity spillovers between the US and European interbank market during turbulent and tranquil … propagation of liquidity shocks within the interbank market, while predicting liquidity crashes characterised by changed dynamics …. We show that liquidity shocks, originating from movements of the spread between the Asset Backed Commercial Paper and T …

We analyze the impact of financial crises and monetary policy on the supply of wholesale funding liquidity, and also on … on interbank access and volume is stronger than on spreads. Liquidity supply restrictions are exacerbated for cross … price dispersion substantially decreases when the Eurosystem promises unlimited access to liquidity at a fixed price in …

maturities with the risk of systemic crises. Pecuniary externalities make unregulated debt maturities inefficiently short. The …

We document the mechanism through which the risk of fire sales in the sovereign bond market contributed to the … in the portfolios of domestic banks, increasing fire-sale risk and making both banks and sovereign bonds riskier. In … attracted new investors and reduced fire-sale risk in the sovereign bond market …

modelling framework could be used both as a crisis management tool to help inform decisions on capital/liquidity infusions in …

Asset encumbrance is a central concept in the context of banks’ liquidity crises, as it is associated with their … conduct an econometric analysis of the driving factors of banks’ asset encumbrance, highlighting the relevance of credit risk …

We analyze the impact of financial crises and monetary policy on the supply of wholesale funding liquidity, and also on … on interbank access and volume is stronger than on spreads. Liquidity supply restrictions are exacerbated for cross … price dispersion substantially decreases when the Eurosystem promises unlimited access to liquidity at a fixed price in …