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 …

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 …

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 …

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 …

This paper examines the impact of exogenous liquidity shocks on banks borrowing funds in the interbank market. We … evaluate the effects of idiosyncratic liquidity shocks — arising from deposits outflow at the bank level — and of the aggregate … liquidity shock related to the U.S. tapering observed in May 2013. We find that both liquidity shocks are associated with higher …

-shares of the same fund during the unprecedented liquidity crisis in March 2020. For an average bond or equity mutual fund … collective "dash for cash" by consumers and firms in need of liquidity at the outset of the COVID-19 pandemic was not the source …

I show that if dealers are averse to holding inventory, then prices, liquidity, and dealers' inventory positions depend …

crashes. They actually consume liquidity when it is most needed, even if they are rewarded by the exchange to provide … crash. In their place, slow traders provide liquidity, taking advantage of the discounted price. We thus uncover a trade …-off between the greater liquidity and efficiency provided by designated market makers in normal times, and the disruptive …

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 …