We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …

persistence of liquidity shocks. Following a theory of long-term interbank funding a financial system which is modeled as a micro … policy and therefore ultimately the real economy. In particular, it facilitates banks' liquidity management. This paper aims … at extending the literature which views interbank markets as mutual liquidity insurance mechanism by taking into account …

empirically test the predictions of a new signalling model that offers a rationale for offering two different liquidity facilities … risky than banks that accessed the DW. Our results can contribute to a better design of liquidity facilities during a …

asset positions once the aggregate interbank funding market experiences a dry-up. To this regard, we show that liquidity … strategy further helps us to analyse how disruptions in the bank headquarters’ interbank market can lead to liquidity and …

We offer a multi-period systemic risk assessment framework with which to assess recent liquidity and capital regulatory … requirement proposals in a holistic way. Following Morris and Shin (2009), we introduce funding liquidity risk as an endogenous … outcome of the interaction between market liquidity risk, solvency risk, and the funding structure of banks. To assess the …

become mutually reinforcing. We compare different policy measures that can mitigate the risk of inefficient liquidity dry …We analyze a novel feedback mechanism between market and funding liquidity that causes self-fulfilling liquidity dry … gain by resorting to outside liquidity sources and withhold assets from secondary markets. This leads to adverse selectrion …

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 …

We investigate whether idiosyncratic interbank funding shocks affecting a bank headquarters can trigger a liquidity … emergency liquidity. Our findings suggest that the geographical fragmentation of branches' funding limits their ability to …

liquidity risk and characterizes them. Both a solvency (leverage) and a liquidity ratio are required to control the … fund managers are more conservative the liquidity requirement has to be strengthened while the solvency one relaxed. Higher … financial intermediary is opaque) and, correspondingly, liquidity requirements should be tightened. The model is applied to …

' borrowing costs during the crisis. Our results have important implications for the provision of liquidity by central banks …