The paper reports the outcome of the stress-testing of liquidity risk in the TARGET2 payment system, with the study … resilience of the system, defined as the network of its participants, and the appropriateness of liquidity levels under tightened … liquidity conditions. The scenarios analysed are based on extreme shocks to the value of collateral of different levels and …

We differentiate the liquidity and the quality of private assets in a tractable incomplete-market model with … heterogeneous agents. The model decomposes the convenience yield of government bonds into a "liquidity premium" (flight to liquidity … fluctuations and bond premiums, the model reveals that a sharp reduction in the quality, instead of the liquidity, of private …

I revisit the Diamond-Dybvig model of liquidity insurance in the presence of hidden trades. The key result is that in … this environment deposit-taking banks are not necessary for the efficient provision of liquidity. Mutual funds are … constrained efficient when supplemented with the same government liquidity regulation that is required to make a banking system …

This paper investigates the managing strategies of a bank's liquidity reserve in the broader context of the role of … asset-liability management according to the liquidity issues of a banking organisation. Several types of liquidity are … presented and how these are interconnected and how they might affect a financial institution's liquidity risk. When managing the …

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 …

This paper examines the level and the main determinants of liquidity created by credit unions. The contribution of … credit unions to the aggregate liquidity created by the financial system has increased over time from $206 billion in 2000 to … $318 billion in 2008. We document a negative relationship between the level of capital and liquidity created by credit …

The aim of this paper is to analyze the liquidity levels of various banks in the UAE for the period 2005-2009. To … understand the behavior of liquidity indicators especially during the financial crisis, the researcher will analyze the four … liquidity indicators over the years 2005 to 2009. The findings highlight how the banks in question have been impacted by the …

liquidity regulations. Basel III and the capital stress tests introduced new requirements and new definitions while retaining … find that the market pricing of bank debt appears to have responded to changes in liquidity measures, especially at large …