We propose and test a new channel that links funding liquidity risk and interest rates in short-term funding markets …. Borrowers with high liquidity risk are willing to pay a markup to lock in their funding, independent of risk premiums demanded … borrowers' funding liquidity risk that lead to systematic and persistent heterogeneity in funding costs. Our results have …

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 …

connections 3merges from idiosyncratic liquidity shocks. Banks initially choose potential trading partners randomly, but form … banks mediating between the liquidity needs of many smaller banks. Statistical analysis shows that this evolving interbank …

connections 3merges from idiosyncratic liquidity shocks. Banks initially choose potential trading partners randomly, but form … banks mediating between the liquidity needs of many smaller banks. Statistical analysis shows that this evolving interbank …

study liquidity reallocation in this interbank network using a novel dataset of all interbank loans settled between European … banks. We show the existence of a centrality premium when banks act as intermediaries of liquidity: banks with a one …

network. We first provide a characterization of the unique equilibrium of banks' liquidity holdings for any network of credit … aggregate liquidity holdings. This incurs an implicit cost, since these funds could be invested in the more productive illiquid …

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