We provide new international evidence for a monetary policy liquidity transmission channel in the United States, United … downward spiral after an unexpected arrival of a financial market illiquidity shock. In order to uncover this transmission … channel, we rely on a nonlinear and international economic set-up to distinguish between times of liquidity crisis and non …

shock. Our contagion mechanism operates through a dual channel of liquidity and solvency risk. The joint modelling of banks …This paper shows how the combined endogenous reaction of banks and investment funds to an exogenous shock can amplify … model of contagion propagation using a very large and granular data set for the euro area. Based on the economic shock …

. 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 …