While net settlement systems make more efficient use of liquidity than gross settlement systems, they are known to generate systemic risk. What does that tendency imply for the stability of the payments [or financial] system when the two settlement systems coexist? Do liquidity shortages induce...

We analyze the impact of financial crises and monetary policy on the supply of wholesale funding liquidity, and also on the compositional supply effects through cross-border and relationship lending. For empirical identification, we draw on the proprietary bank-to-bank European interbank dataset...

This paper uses the order book for 2007 and 2008 of a key Euro area market maker in the unsecured money market to estimate a stylized pricing model which explicitly accounts for the over – the – counter structure and the unsecured nature of these transactions. The empirical results suggest...

We analyze the impact of financial crises and monetary policy on the supply of wholesale funding liquidity, and also on the compositional supply effects through cross-border and relationship lending. For empirical identification, we draw on the proprietary bank-to-bank European interbank dataset...

We use a unique security-level data set to analyze whether German banks use their customer portfolios and affiliated mutual funds as an exit channel for risky sovereign bonds in the European sovereign debt crisis. Matching banks' proprietary holdings with the holdings of their funds and their...

We examine over crisis and non-crisis periods whether banks have a structurally different propensity to draw on the central bank's overnight lender-of-the-last-resort (LLR) facility. Our findings suggest that in particular those banks that are structurally more exposed to liquidity shocks, have...

We use a unique security-level data set to analyze correlations in bond trading of banks, their respective retail customers and their affiliated mutual funds. Matching banks' proprietary holdings with the holdings of their funds and their retail customers for the period 2009-2016 at the security...