We measure the liquidity profile of open-end mutual funds using the sensitivity of their daily returns to aggregate … liquidity. We study how this sensitivity changes around real-activity macroeconomic announcements that reveal large surprises … that, following negative news, the sensitivity to aggregate liquidity increases for less-liquid mutual funds, like those …

Under Basel III rules, banks become subject to a liquidity coverage ratio (LCR) from 2015 onwards, to promote short …-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 …

Liquidity is a key consideration in financial markets, especially in times of financial crises. For this reason …, regulations aiming at ensuring funding liquidity or, in general, reducing certain risky positions have the side effect of reducing … market liquidity. To understand this effect, we extend a standard general equilibrium model with transaction costs of trading …

We devise a simple model of liquidity demand and supply to deepen the understanding of dealers’ liquidity provision in …' intermediation capacity is constrained the cost of liquidity provision increases disproportionately relative to dealer …-intermediated volume. Thus, the otherwise strong and positive relation between liquidity costs and trading volume effectively shrinks to …

In this paper we introduce two measures, the Systemic Liquidity Buffer (SLB) and the Systemic Liquidity Shortfall (SLS …) to assess liquidity in the banking system. The SLB takes an aggregated perspective on liquidity risks in the banking … system. In contrast, the SLS focusses on the problematic banks which suffer a liquidity shortfall. These measures provide an …