This paper studies bank loan pricing in the euro area over the period October 2008 to October 2014. This period was characterised by market fragmentation and extended liquidity provision by the ECB. For our analysis we develop a theoretical framework which accounts for the main financing risks...

We examine the system-wide effects of liquidity regulation on banks’ balance sheets. In the general equilibrium model, banks have to hold liquid assets, and choose among illiquid assets varying in the extent to which they are difficult to value before maturity, e.g., structured securities. By...

The paper studies the central bank collateral framework and its impact on banks' liquidity under an adverse stress test scenario. We construct a stress test model that accounts for a granular and multi-faceted representation of the liquidity of marketable and non-marketable assets. In...

The paper studies the central bank collateral framework and its impact on banks’ liquidity under an adverse stress test scenario. We construct a stress test model that accounts for a granular and multi-faceted representation of the liquidity of marketable and non-marketable assets. In...