Under Basel III rules, banks become subject to a liquidity coverage ratio (LCR) from 2015 onwards, to promote short …-term resilience. We investigate the effects of such liquidity regulation on bank liquid assets and liabilities. Results indicate co …-integration of liquid assets and liabilities, to maintain a minimum short-term liquidity buffer. Still, microprudential regulation …

-intermediated volume. Thus, the otherwise strong and positive relation between liquidity costs and trading volume effectively shrinks to …We devise a simple model of liquidity demand and supply to deepen the understanding of dealers’ liquidity provision in …' intermediation capacity is constrained the cost of liquidity provision increases disproportionately relative to dealer …

In this paper we introduce two measures, the Systemic Liquidity Buffer (SLB) and the Systemic Liquidity Shortfall (SLS …) to assess liquidity in the banking system. The SLB takes an aggregated perspective on liquidity risks in the banking … system. In contrast, the SLS focusses on the problematic banks which suffer a liquidity shortfall. These measures provide an …

liquidity. We propose a contract to hedge uncertainty over future transaction costs, detailing potential buyers and sellers …It is well established that investors price market liquidity risk. Yet, there exists no financial claim contingent on …. Introducing liquidity derivatives in Brunnermeier and Pedersen (2009) improves financial stability by mitigating liquidity spirals …

The paper investigates the relationship between the investment holding horizon and liquidity. I confirm and expand … short period carry more of liquidity risk. This means that short term investors load on liquidity risk when making …

borrowers' funding liquidity risk that lead to systematic and persistent heterogeneity in funding costs. Our results have …We propose and test a new channel that links funding liquidity risk and interest rates in short-term funding markets …. Borrowers with high liquidity risk are willing to pay a markup to lock in their funding, independent of risk premiums demanded …

regulations aimed at reducing counterparty risk and improving liquidity can be ineffcient. Such regulations have a direct positive …