Recent financial crisis showed how the unfolding of liquidity risks of financial intermediaries spilled over to asset … markets, contributing to asset price deterioration and the triggering of liquidity spirals. This paper derives and tests a … aggregate funding liquidity risks of the banking system into a simple binary fragility indicator. The main empirical result of …

policy and therefore ultimately the real economy. In particular, it facilitates banks' liquidity management. This paper aims … at extending the literature which views interbank markets as mutual liquidity insurance mechanism by taking into account … persistence of liquidity shocks. Following a theory of long-term interbank funding a financial system which is modeled as a micro …

explains the link between the liquidity premium and spreads. We present a theory of endogenous bank fragility arising from a …. This drives up both credit spreads and the liquidity premium. By mitigating the coordination friction, expansions of public … liquidity reduce spreads and boost the economy. Empirically, we identify high-frequency exogenous variation in liquidity by …

This paper quantifies liquidity and credit premia in German and French government bond yields. For this purpose, we …-`a-vis government bonds can be attributed to differences in liquidity premia. Adding the information on risk-free rates, we obtain model …