This paper examines the optimal design of and interaction between capital and liquidity regulations in a model … characterized by fire sale externalities. In the model, banks can insure against potential liquidity shocks by hoarding sufficient … precautionary liquid assets. However, it is never optimal to fully insure, so realized liquidity shocks trigger an asset fire sale …

Making use of a structural model that allows for optimal liquidity management, we study the role that repos play in a … bank's financing structure. In our model the bank's assets consist of illiquid loans and liquid reserves and are financed … to an exogenous rollover risk. We show that the use of repos inflicts two types of indirect (“shadow”) costs on the bank …

regulatory requirements. Our analytic characterization of the bank policy choices shows that imposing solely liquidity … requirements leads to lower bank losses in default at the cost of an increased likelihood of default. Combining liquidity …We develop a dynamic model of banking to assess the effects of liquidity and leverage requirements on banks' insolvency …

We present the first study to estimate the causal effect of liquidity regulation on bank balance sheets. It takes … advantage of the heterogeneous implementation of tighter liquidity regulation by the UK Financial Services Authority in 2010. We … that the tightening of liquidity regulation caused banks to shrink their balance sheets, nor reduce the amount of lending …

when deciding whether to renew their claims. Runs can cause a large bank's failure regardless of its book capital ratio …

This paper examines the welfare implications of bank capital requirements in a general equilibrium model in which a … of minimum Tier 1 capital requirement is 8%, greater than that prescribed by both Basel II and III. Increasing bank …

We develop a structural model for valuing bank balance sheet components such as the equity and debt value, the value … for the government when the bank is operated by private shareholders including the present value of a possible future … the bank. In this case, the shareholders lose part (or all) of the capital that they hold in the bank, the creditors lose …

buffer appears to crowd out bank lending and lead to a migration of liquidity risks to banks that are not subject to … volatility in the liquidity premium. A central bank committed liquidity facility can improve the current quantity …This paper investigates, theoretically and empirically, the effects of liquidity regulation on the banking system. We …

This paper examines the optimal design of and interaction between capital and liquidity regulations in a model … characterized by fire sale externalities. In the model, banks can insure against potential liquidity shocks by hoarding sufficient … precautionary liquid assets. However, it is never optimal to fully insure, so realized liquidity shocks trigger an asset fire sale …