We study efficiency properties of competitive economies in which banks provide liquidity insurance and interact on … secondary asset markets. While all banks are subject to extrinsic risk, a bank's portfolio choice determines whether it is prone …

underlying assets. Using the SEC Rule on mutual fund liquidity risk management in 2016 as an exogenous shock, I show that mutual …I study how liquidity management affects fragility, or vulnerability to fund flows, in mutual funds and their … stabilized fund flows and flow-performance sensitivity. Overall, liquidity management could be costly for investors …

This article analyzes the determinants of liquidity crises based on the dynamics of banking and finance under Knightian … financial instability derived from Keynes's theory of liquidity and expectations. Conventional expectations allow overcoming … uncertainty via the liquidity of secondary markets and, in turn, of banks' liabilities that are accepted as money. However, the …

This article presents a dynamic approach to liquidity based on uncertainty as conceptualized by Knight, developed in a … conventions of safety. When uncertainty returns to the forefront, acceptance of private money is compromised and a liquidity …. Insulating bankers from market pressure for high-risk, high-returns strategies should be allowed too …

provided liquidity against a range of assets during 2008-09. Dealers with lower equity returns and greater leverage prior to … liquidity in explaining dealer behavior. The results suggest that both financial performance and balance sheet liquidity play a …

subject to rollover risk. A bank’s optimal borrowing trades off the benefit from investing additional funds into profitable … assets with the cost of greater risk of a run by bank creditors. Changes in the interest rate affect the price and amount of …

subject to rollover risk. A bank's optimal borrowing trades off the benefit from investing additional funds into profitable … assets with the cost of greater risk of a run by bank creditors. Changes in the interest rate affect the price and amount of …

We analyze how the Lehman and sovereign crises affect cross-border interbank liquidity, exploiting euro … foreign lenders. Crisis shocks reduce the supply of cross-border liquidity, with stronger volume than pricing effects. On the … margin—riskier borrower banks suffer more. Moreover, the cross-border liquidity crunch is substantially stronger for term …

In this paper we introduce two measures, the Systemic Liquidity Buffer (SLB) and the Systemic Liquidity Shortfall (SLS …) to assess liquidity in the banking system. The SLB takes an aggregated perspective on liquidity risks in the banking … system. In contrast, the SLS focusses on the problematic banks which suffer a liquidity shortfall. These measures provide an …

This paper contributes to the debate on liquidity in resolution by providing a quantitative assessment of liquidity … gaps of banks in resolution in the euro area. It estimates possible ranges of liquidity gaps for significant banks under … different assumptions and scenarios. The findings suggest that, while the average liquidity gaps in resolution are limited, the …