network. We first provide a characterization of the unique equilibrium of banks' liquidity holdings for any network of credit … aggregate liquidity holdings. This incurs an implicit cost, since these funds could be invested in the more productive illiquid …

shock related to the U.S. tapering observed between May and September of 2013. We find that both liquidity shocks are …This paper examines the impact of exogenous liquidity shocks in the unsecured interbank market. We evaluate the effects … of idiosyncratic liquidity shocks - arising from deposits outflow at the bank level - and of the aggregate liquidity …

multiple bank defaults driven by common shock exposure on asset markets, direct contagion via the interbank market, and … firesale spirals. The central bank injects or withdraws liquidity on the interbank markets to achieve its desired interest rate … detrimental effects of higher risk taking incentives.We find that central bank supply of liquidity quite generally increases …

This paper shows that depending on the distribution of banks' uncertain liquidity needs and on how monetary policy is …

This paper shows that depending on the distribution of banks' uncertain liquidity needs and on how monetary policy is …

We propose and test a new channel that links funding liquidity risk and interest rates in short-term funding markets …. Borrowers with high liquidity risk are willing to pay a markup to lock in their funding, independent of risk premiums demanded … borrowers' funding liquidity risk that lead to systematic and persistent heterogeneity in funding costs. Our results have …

recourse to the LOLR facility (a) to derive banks’ willingness-to-pay for liquidity through a one-week repo and (b) to show … results suggest (i) that banks’ willingness-to-pay for liquidity indeed reflects refinancing conditions in the interbank …

a liquidity shock, and an injection of cash is required for the asset to mature if it is hit by the shock. Banks have …We develop a model in which financial intermediaries hold liquidity to protect themselves from shocks. Depending on … parameter values, banks may choose to hold too much or too little liquidity on aggregate compared with the socially optimal …

This paper shows that depending on the distribution of banks' uncertain liquidity needs and on how monetary policy is …

We develop a quantitative macroeconomic framework with heterogeneous financial intermediaries and active liquidity …. Using our empirically validated framework, we explore secular trends in interbank trading, the roles of liquidity and …