In August of 2007, banks faced a freeze in funding liquidity from the asset-backed commercial paper (ABCP) market. We investigate how banks scrambled for liquidity in response to this freeze and its implications for corporate borrowing. Commercial banks in the United States raised deposits and...

This paper studies endogenous liquidity crises as the result of information panics. Collective ignorance is welfare maximizing but it is fragile, susceptible to self-fulfilling fears about asymmetric information. When investors become worried about the potential of adverse selection, they raise...

We construct synthetic spreads representing funding liquidity risk in BRICS economies and examine whether stress in the interbank and financial markets in the US spread to emerging markets during the Global Financial Crisis, European Sovereign Debt Crisis, and COVID-19 pandemic. We rely on a...