liquidity risks accumulated by this market maker affect his pricing of liquidity and the bid/ask spread he quotes on unsecured … borrowing and lending. We find that the larger the funding liquidity risk assumed by the market maker is, the higher the market … price for liquidity. Furthermore, his bid/ask spread and the sensitivity of his bid/ask spread to the maturity of the …

After the crisis, bank regulators are considering mitigating liquidity risk by introducing quantity limits on liquidity … and maturity mismatch. We argue that aggregate liquidity risk can be reduced with little deadweight loss by encouraging … readily observable variable correlated with systemic liquidity risk (e.g. the LIBOR-OIS spread) is above a trigger threshold …