for complying with the NSFR liquidity requirement. The suggested approach, which is also flexible enough to be applied in … results, banks react to the introduction of the NSFR by strongly increasing their high-quality liquid assets, as well as … fundamentally altering their short-term interbank funding to long-term. In addition, assuming no market frictions in the market for …

-term investors are sensitive to interest rate movements and supply liquidity, whereas mutual funds, with shorter investment horizon … and benchmark constraints, demand liquidity. Price impact increased post-crisis for all institutions and has remained … higher than the pre-crisis levels, signaling a general decline in bond market liquidity due perhaps to regulatory changes in …

We examine liquidity creation per unit of assets by banks subject to the Liquidity Coverage Ratio (LCR) using the … liquidity measures Liquidity Mismatch Index (LMI) (Bai et al., 2018) and BB (Berger and Bouwman, 2009). We identify the LCR …. We find that, since 2013, there has been reduced liquidity creation by LCR banks compared to non-LCR banks, occurring …

I study a model of market-liquidity provision by levered intermediaries that, besides operating trading desks, run … deposit-taking franchises. Levered intermediaries’ heightened incentive to absorb risk helps to counteract liquidity …. However, liquidity provision may also overshoot, leading to unhealthy price bubbles and causing asset origination to become …