Fecht, Falko; Nyborg, Kjell G; Rocholl, Jörg - C.E.P.R. Discussion Papers - 2010
prices that banks pay for liquidity, captured here by borrowing rates in repos with the central bank and benchmarked by the … liquidity. We find that the price a bank pays for liquidity depends on the liquidity positions of other banks, as well as its … own. There is evidence that liquidity squeezes occasionally occur and short banks pay more the larger is the potential for …