existence of financial contagion during this crisis, defined as the international transmission of country-specific shocks beyond … the normal channels of financial interdependence. Since contagion relates purely to country-specific shocks, we combine … the standard contagion test of Favero and Giavazzi (2002) with a narrative approach to separate out global and euro area …

decline in liquidity, trading and price efficiency of medium-sized banks’ stocks relative to other stocks. …-sized banks, these being generally less internationally diversified and more reliant on official support. We show that the ban … helped stabilise the credit risk of medium-sized banks, especially those more exposed to short-sellers’ activity, but not …

contagion effect coming from the sovereign risk, the ban helped stabilise the probability of default of medium-sized banks, an … significant determinant of the probability of default of medium-sized banks before the ban. We find that, by weakening the … effect which is not significant in the case of the largest banks and non-financials. Nonetheless, the stabilising power of …

's default and the ensuing default contagion. In unwinding the defaulter's positions, the CCP faces the price impact of …-mediated contagion and its amplification. A novel spatial measure captures the covariance between members' CDS holdings and the CDS being … theoretical results with parameter magnitudes and sensitivities. Examination of three market liquidity scenarios provides …

its positions. The theoretical model examines variation margin exchange between dealer banks and the price impact of … liquidation and predatory selling. It provides a measure of covariance between assets in banks' portfolios; price impact affects … profits, and how predation decreases the profits of all members, pushing banks to default. Furthermore, a hybrid CCP (vs …

This paper studies endogenous liquidity crises as the result of information panics. Collective ignorance is welfare …

This paper develops a dynamic model to study optimal liquidity regulations for multiple assets that differ in liquidity …. I show that optimal macroprudential policies are affected by asset liquidity and the multi-asset structure. Lower asset … liquidity amplifies declines in asset prices and tightens the collateral constraint during financial crises, raising …

aggregate shocks, which generate the time-varying liquidity and default premiums in the mortgage spread. I quantify the …