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-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 … microprudential regulation with a macroprudential approach. This involves monitoring of aggregate liquid assets and liabilities and …
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-term resilience. Investigating the effects of such liquidity regulation on bank balance sheets, we find (i) cointegration of liquid … changes in liquid assets. Moreover, microprudential regulation has not prevented a procyclical liquidity cycle in secured …
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We propose a structural model of a financial institution that can invest in both liquid and illiquid assets. The goal of this firm is to maximize the profit of its shareholders, while satisfying some capital requirement and liquidity constraint. Using stochastic control techniques, we derive the...
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