Since the global financial crisis, economic literature has highlighted banks' inclination to bolster up their liquid asset positions once the aggregate interbank funding market experiences a dry-up. To this regard, we show that liquidity hoarding and its detrimental effects on credit can also be...

Since the global financial crisis, economic literature has highlighted banks’ inclination to bolster up their liquid asset positions once the aggregate interbank funding market experiences a dry-up. To this regard, we show that liquidity hoarding and its detrimental effects on credit can also...

Can banks maintain their advantage as liquidity providers when they are heavily exposed to a financial crisis? The standard argument - that banks can - hinges on deposit inflows that are seeking a safe haven and provide banks with a natural hedge to fund drawn credit lines and other commitments....

The current turmoil has shaped the world financial market. While the crisis materialized in 2008, it already began in mid-2000s when the US economy shifted to imbalanced both internal and external macroeconomic positions. We see three key causes of these problems – loose US monetary...

The financial crisis of 2007-2008 was a liquidity crisis. Thus we must both study the source of the crisis and evaluate the regulatory measures to address it. How was this liquidity crisis and its associated risk related to other forms of risk? What was the nature of the vicious cycle that...

I study the behaviour of the CDS-bond basis - the difference between the CDS and the bond spread - for a sample of investment-graded US firms. I document that, since the onset of the 2007/08 financial crisis it has become persistently negative, and I investigate the role played by the cost of...

The financial crisis of 2007-2008 has brought to light the liquidity problem of the financial system. Trying to solve this challenge, the members of the European Monetary Union were confronted with the sovereign debt crisis, which exacerbated the gravity of the initial situation. This paper...

This paper introduces a coincident indicator of systemic liquidity risk in the Italian financial markets. In order to take account of the systemic dimension of liquidity stress, standard portfolio theory is used. Three sub-indices, that reflect liquidity stress in specific market segments, are...

After August 2007 the plumbing system that supplied banks with wholesale funding, the interbank market, failed because toxic assets obstructed the pipes. Banks were forced to squeeze liquidity in a �lemons market� or to ask for liquidity �on tap� from central banks. This...

We provide a simple model, able to explain why the overnight (ON) rate follows a downward intraday pattern, implicitly creating a positive intraday interest rate. While this normally reflects only some frictions, a liquidity crisis introduces a new component: the chance of an upward jump of the...