This paper outlines a framework to perform liquidity stress tests for investment funds. Practical aspects related to the calibration of the redemption shock, the measurement of liquidity buffers and the assessment of the resilience of investment funds are discussed. The integration of liquidity...

This paper distills and identifies global liquidity (GL) momenta from the macro-financial data of advanced economies through a factor model with sign restrictions as policy-driven, market-driven, and risk averseness factors. Using a panel factor-augmented VAR, we investigate responses of...

We examine the changes in liquidity measures around the price jumps detected in intraday returns. The sample consists of 5-minute returns from the most liquid stocks quoted on the Warsaw Stock Exchange. Within an event-study we show that the appearance of the jumps has a two-fold impact on the...

The inability to pay debts by a corporation or an individual is termed as “insolvency”. The inability to pay debts could be either ‘cash flow insolvency' or ‘balance sheet insolvency'. Irrespective of the financial context, the paucity of funds whether current or contingent, can result...

This paper develops a model of interbank lending based on liquidity and profitability considerations of homogeneous banks. We derive the reservation prices of interbank lending and its properties before exploring how, due to an idiosyncratic liquidity shock, banks engage in bilateral lending to...

This paper investigates the cash flow sensitivity of cash dividends in different cash dividend taxation systems. Using a cross-country study, we find that a firm's dividend policy in a single dividend taxation system (relative to a double dividend taxation system) is more sensitive to cash flow...

A financial distress of company should be able anticipated smartly by its management to rerun the business without having any loss due to business failure. Thus, we need a model which could provide an early signal to company the probability of financial distress so that remedial efforts can be...

We estimate a panel Bayesian vector autoregression model for a cross-section of seven advanced European economies and produce out-of-sample forecasts of GDP conditionally on observed developments of interest rates and credit. We show that by using a smooth transition version of the model and...