risk and uncertainty is implemented by applying the Gilboa-Schmeidler (1989) maxmin with multiple priors framework to …

between risk and uncertainty is implemented by applying the Gilboa-Schmeidler (1989) maxmin with multiple priors framework to …

This paper investigates the relationship between credit and liquidity risk components in the UK interbank spread during … risk was a major factor in the widening of the spread and also caused a rise in liquidity risk. However, this relationship … and ultimately, and indirectly, credit risk. We also find evidence that suggests liquidity schemes provided by other …

collateral to support arbitrage trades. We show that with volatile asset demands, arbitrage becomes risky. With information … frictions, a looser collateral policy might render the economy more vulnerable to extremely large demand shocks, while a tighter … collateral constraint helps maintain the stability at the cost of market liquidity supply …

This paper studies the emergence of sovereign bond yield spreads in the Eurozone prior to the financial crisis. While … Eurosystem's move from unconditional to conditional collateral eligibility of sovereign bonds, as part of the 2005 Single List … cycles deviate most from the average Eurozone cycle. In contrast, spreads did not arise in response to adverse macroeconomic …