This paper shows that depending on the distribution of banks' uncertain liquidity needs and on how monetary policy is …

This paper shows that depending on the distribution of banks' uncertain liquidity needs and on how monetary policy is …

persistence of liquidity shocks. Following a theory of long-term interbank funding a financial system which is modeled as a micro … policy and therefore ultimately the real economy. In particular, it facilitates banks' liquidity management. This paper aims … at extending the literature which views interbank markets as mutual liquidity insurance mechanism by taking into account …

We develop a model in which financial intermediaries hold liquidity to protect themselves from shocks. Depending on … parameter values, banks may choose to hold too much or too little liquidity on aggregate compared with the socially optimal … underinsurance against liquidity choice. The model therefore provides a unified framework for thinking, on the one hand, about policy …

-the-counter markets for liquidity in Germany: the interbank market for credit and for derivatives. We use end-of-quarter data from the …

This paper aims to shed light on the systemic nature of liquidity risk and to propose a method for calculating systemic … liquidity shortages. Our method incorporates not only direct liquidity shortages but also indirect liquidity shortages due to … a deficit bank can mitigate a liquidity shortage by holding more claims on a surplus bank. Meanwhile, a greater …

This paper aims to shed light on the systemic nature of liquidity risk and to propose a method for calculating systemic … liquidity shortages. Our method incorporates not only direct liquidity shortages but also indirect liquidity shortages due to … a deficit bank can mitigate a liquidity shortage by holding more claims on a surplus bank. Meanwhile, a greater …

central bank's liquidity policy. In October 2011, to encourage interbank trading, banks were allotted quotas for their … market operations to counteract not only temporary liquidity shortfalls, but also surpluses. We document substantially higher …

according to a Basel II or III macro-prudential frameworks and manage their liquidity in the interbank market. The Central Bank … crises and the emergence of deep downturns. This requires the timely intervention of the Central Bank as a liquidity lender … the Liquidity Coverage Ratio spurs financial instability by increasing the pro-cyclicality of banks' liquid reserves, a …

In this paper, we focus on the interconnectedness of banks and the price they pay for liquidity. We assess how the … to meet its liquidity demand. We use quarterly data of bilateral interbank credit exposures between all German banks from …’s willingness to pay for liquidity since they had variable rate tenders with a “pay-your-bid” price. Controlling for bank …