Liquidity has its systemic aspect that is frequently neglected in research and risk management applications. We build a … model that focuses on systemic aspects of liquidity and its links with solvency conditions accounting for pertinent … account in a stylised fashion. In particular, we investigate the importance of the channels through which the funding shock to …

unanticipated insolvency of one bank. Banks that cannot rule out an indirect hit react by selling assets and hoarding liquidity …. While this potentially lowers illiquidity risks, it depresses market liquidity and prices. This leads to a negative … externality by which sales to acquire liquidity simultaneously lead to lower global sale proceeds and thus to a greater number of …

investors lack the basic tools for evaluating more complex structures and liquidity costs; this, in turn, leaves room for …

This study investigates the determinants of banks liquidity. There are two category of bank liquidity in this study … that is precautionary and involuntary. The definition of precautionary liquidity is the ratio of total cash, demand deposit … at central bank, and demand deposit at other banks, to total asset. Whilst the definition of involuntary liquidity is the …

Can banks maintain their advantage as liquidity providers when exposed to a financial crisis? While banks honored their … credit lines drawn by firms during the 2007-09 crisis, this provision of liquidity by banks was only possible because of … greater undrawn commitments. Such banks sought to attract deposits by offering higher rates, but the resulting private funding …

Can banks maintain their advantage as liquidity providers when exposed to a financial crisis? While banks honored their … credit lines drawn by firms during the 2007-09 crisis, this provision of liquidity by banks was only possible because of … greater undrawn commitments. Such banks sought to attract deposits by offering higher rates, but the resulting private funding …

In this paper, we provide the first evidence of liquidity timing ability of mutual funds outside US. We propose a new … model to study liquidity timing ability of mutual funds. The model matches the higher moment framework required for emerging … market study. We find that on the average the mutual funds in Thailand have liquidity timing ability. At portfolio level, the …