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 …

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 … shock related to the U.S. tapering observed between May and September of 2013. We find that both liquidity shocks are …

market. Banks are subject to random liquidity shocks and can form links with potential trading partners to bilaterally Nash …

market. Banks are subject to random liquidity shocks and can form links with potential trading partners to bilaterally Nash …

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 …

persistence of liquidity shocks. Following a theory of long-term interbank funding a financial system which is modeled as a micro … 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 …