circumstances. The Bank fully supports this approach. However, this will increase the cost of intraday liquidity and so could create …Banks require access to liquidity intraday in order to settle obligations in payment and settlement systems. The recent … financial crisis has highlighted the need for banks to improve their liquidity risk management, including the management of …

2008–2009. The performance of stocks during the crisis can be better explained by their historical liquidity betas (risk …) than by their historical liquidity levels. Stocks with different historical liquidity levels did not experience different … returns after controlling for liquidity risk. The authors' findings highlight the importance of accounting for both liquidity …

. The return impact of fund flows is stronger when funds embrace liquidity risk, when market liquidity is low, and when … funding liquidity, as measured by the Treasury-Eurodollar spread, aggregate hedge fund flows, and prime broker stock returns …, and no manager capital co-invested are more likely to take on excessive liquidity risk. These results resonate with the …

In order to reconcile weak evidence of supply-side determinants of commonality in liquidity in previous studies, we … examine commonality in liquidity in China over the period 1995-2012. Consistent with supply-side explanations, we find that … market declines and market volatility increase liquidity commonality. To identify the direct relationship between the supply …

The interplay between liquidity and credit risks in the interbank market is analyzed. Banks are hit by idiosyncratic … random liquidity shocks. The market may also be hit by a bad news at a future date, implying the insolvency of some … possible contingency, banks currently long of liquidity ask a liquidity premium for lending beyond a short maturity, as a …

. To mitigate this liquidity risk, CCPs often require members to post additional collateral to the initial margin, in the …-ons, this paper discusses the different approaches to incorporating market liquidity risk within a CCP's default waterfall and …

We revisit the role of liquidity risk. We successfully replicate Pastor and Stambaugh's (2003) gamma liquidity risk … compensation for liquidity risk. We create five alternative liquidity risk indices from various popular liquidity proxies. Using …

We study how the risks to future liquidity flow across corporate bond, Treasury, and stock markets. We document … distribution “flight-to-safety” effects: a deterioration in the liquidity of high-yield corporate bonds forecasts an increase in … the average liquidity of Treasury securities and a decrease in uncertainty about the liquidity of investment …

We construct a traded funding liquidity measure from stock returns. Guided by a model, we extract the measure as the …' sensitivities to the aggregate funding shocks. Our measure is correlated with other funding liquidity proxies. It delivers a … positive risk premium that cannot be explained by existing risk factors. A model augmented by the proposed funding liquidity …