This paper presents a macro stress-testing model for liquidity risks of banks, incorporating the proposed Basel III … liquidity regulation, unconventional monetary policy and credit supply effects. First and second round (feedback) effects of … shocks are simulated by a Monte Carlo approach. Banks react according to the Basel III standards, endogenising liquidity risk …

uncertainty regarding their liquidity needs. This paper examines the efficiency of the interbank lending market in allocating … funds and the optimal policy of a central bank in response to liquidity shocks. We show that, when confronted with a … distributional liquidity-shock crisis that causes a large disparity in the liquidity held by different banks, a central bank should …

and the central bank's liquidity support measures following the Covid-19 pandemic. The liquidity measures enabled banks to … fulfil their liquidity needs primarily through participation in extraordinary liquidity auctions. The distribution of central … bank reserves across banks did not change due to these measures, but interbank trading fell sharply. Ample liquidity …

transactional level allows me to apply advanced panel methods. Furthermore, this paper shows liquidity hoarding during the pandemic …

' funding structures jointly with that in their excess liquidity holdings. We find evidence that banks highly exposed to the …, importantly, the explicit consideration of the role of excess liquidity in our analysis …

reliance on retail deposit funding and the level of excess liquidity holdings may increase banks' responsiveness to NIRP. We … bank loans. Broader coverage of our loan data and the explicit consideration of banks' excess liquidity holdings are the …' excess liquidity holdings for the effectiveness of NIRP, pointing to a strongcomplementarity of NIRP with central bank …

investigates the impact of the projected shock on banking sector liquidity at a country level. The study encompasses 112 countries … liquidity risk …

reliance on retail deposit funding and the level of excess liquidity holdings may increase banks’ responsiveness to NIRP. We … segments. We are the first to document the importance of banks’ excess liquidity holdings for the effectiveness of NIRP …, pointing to a strong complementarity of NIRP with central bank liquidity injections, e.g. via asset purchases …

liquidity tightened after the Lehman collapse but there is no evidence of fire sales in the German banking sector. Instead, we … observe a broad-based flight to liquidity. The European Central Bank's unconventional monetary policy had a strong impact on … banks' trading behavior by inducing shifts towards eligible securities and reducing pressure on market liquidity. This …