This paper discusses liquidity regulation when short-term funding enables credit growth but generates negative systemic … containing risk and preserving credit quality, while quantity-based fundingratios are distorsionary. Liquidity buffers are either … overconfidence), excess credit and liquidity risk are best controlled with net fundingratios. Taxes on short-term funding emerge …

Liquidity has its systemic aspect that is frequently neglected in research and risk management applications. We build a … model that focuses on systemic aspects of liquidity and its links with solvency conditions accounting for pertinent …

We study the interplay of capital and liquidity regulation in a general equilibrium setting by focusing on future … default coexist, and bank default is a self-fulfilling prophecy. Capital and liquidity regulation can prevent bank default and … liquidity regulation. Adding liquidity regulation to optimal capital regulation is redundant. …

liquidity and solvency shocks. Extending the work by Cao & Illing (2009a, b), it is shown that systemic liquidity shortage … extra cost for banking regulation and makes some schemes that are optimal under pure illiquidity risks (such as liquidity …

This paper discusses liquidity regulation when short-term funding enables credit growth but generates negative systemic … containing risk and preserving credit quality, while quantity-based funding ratios are distorsionary. Liquidity buffers are … overconfidence), excess credit and liquidity risk are best controlled with net funding ratios. Taxes on short-term funding emerge …

Traditionally, aggregate liquidity shocks are modelled as exogenous events. Extending our previous work (Cao & Illing …, 2008), this paper analyses the adequate policy response to endogenous systemic liquidity risk. We analyse the feedback … between lender of last resort policy and incentives of private banks, determining the aggregate amount of liquidity available …

We develop a model in which margin procyclicality and the propensity for liquidity hoarding interact to generate a … systemic liquidity crisis. In this model, banks lend and borrow in the interbank market to mitigate liquidity risk and trade … procyclicality in the derivatives market can spillover to the interbank market leading to systemic liquidity risk. Interconnectedness …

liquidity. To this end, we develop an environment where banks offer insurance to their depositors against both idiosyncratic and … aggregate real uncertainty, by holding a portfolio of liquidity and productive illiquid assets. Moreover, banks' asset … sufficiently low and the depositors are sufficiently risk averse, the banks first employ liquidity and then liquidate the …