-theoretic model that determines the utility that the agents derive from holding assets with different liquidity. Second, it …

rates of return to compensate agents for their relative lack of liquidity. Consistent with empirical findings, our model …

We identify frictions in the market for liquidity as well as bank-specific and market-wide factors that affect the … prices that banks pay for liquidity, captured here by borrowing rates in repos with the central bank and benchmarked by the … liquidity. We find that the price a bank pays for liquidity depends on the liquidity positions of other banks, as well as its …

We study the prices that individual banks pay for liquidity (captured by borrowing rates in repos with the central bank … depend in particular on the distribution of liquidity across banks, which is calculated over time using individual bank …-level data on reserve requirements and actual holdings. Banks pay more for liquidity when positions are more imbalanced across …

structure into default and non-default (liquidity) components. From August 2007 to January 2011, the fraction of total interbank … in the first half of the sample period and is correlated with measures of funding and market liquidity. The model also …

-discounting, in terms of credit and liquidity effects. We also review the new modern pricing approach prevailing among practitioners …, based on multiple yield curves reflecting the different credit and liquidity risk of Libor rates with different tenors and …, and has adopted the modern Multiple-Curve CSA approach, thus incorporating credit and liquidity effects into market prices …

We show in an exchange economy with liquidity constraints that the volume of trade and asset prices depend on both the … supply of liquidity by the Central Bank and on the liquidity of assets and commodities. As a result, monetary aggregates are … economy with heterogeneous agents and short-term liquidity effects, where monetary costs act as transaction costs and the …

the volume of liquidity in the banking system is held in line with the demand of banks for reserves. In this paper main … factors of banking system liquidity are analyzed in the context of bank’s imperfect intertemporal substitution of reserves and … rates prove Czech National Bank’s ability to stabilise O/N interest rates disregard overall excess liquidity in the banking …

bond market liquidity. In order to stabilize these markets, policy makers recently proposed that the trading of corporate … only if it is feasible for him to also affect market liquidity, by either increasing or decreasing it. …