In this paper we introduce two measures, the Systemic Liquidity Buffer (SLB) and the Systemic Liquidity Shortfall (SLS …) to assess liquidity in the banking system. The SLB takes an aggregated perspective on liquidity risks in the banking … system. In contrast, the SLS focusses on the problematic banks which suffer a liquidity shortfall. These measures provide an …

We investigate the channel through which fluctuations in the market liquidity of real-sector repo collateral cause … productive capital as repo collateral to fund the margin for their arbitrage positions. A tiny drop in the market liquidity of …), and can easily incur a simultaneous repo run and arbitrage crashes, where liquidity in several markets dry up altogether …

We investigate liquidity shocks and shocks to fundamentals during financial crises at commercial banks, investment … banks, and hedge funds. Liquidity shock amplification models assume that widespread funding problems cause fire sales. We …

endogenous financial instability derived from Keynes's theory of liquidity and expectations. Conventional expectations allow …This paper investigates the determinants of liquidity crises based on the dynamics of banking and finance under … overcoming uncertainty via the liquidity of secondary markets and, in turn, of banks' liabilities that are accepted as money …

liquidity tightened after the Lehman collapse but there is no evidence of fire sales in the German banking sector. Instead, we … observe a broad-based flight to liquidity. The European Central Bank's unconventional monetary policy had a strong impact on … banks' trading behavior by inducing shifts towards eligible securities and reducing pressure on market liquidity. This …

We investigate two competing explanations for commercial bank distress during financial crises: liquidity shortages and … solvency concerns. If liquidity shortages cause distress, a lender of last resort can help by providing funds to banks having … banks with existing solvency problems, then liquidity provision may not spur lending. Our analysis of commercial banks shows …

This article presents a dynamic approach to liquidity based on uncertainty as conceptualized by Knight, developed in a … theory of long-term expectations by Keynes, and applied to banking by Minsky. This perspective reveals that banks perform … conventions of safety. When uncertainty returns to the forefront, acceptance of private money is compromised and a liquidity …

market liquidity and worsens incentives causing a feedback effect that amplifies collateral costs. …

We analyze a novel feedback mechanism between market and funding liquidity that causes self-fulfilling liquidity dry … gain by resorting to outside liquidity sources and withhold assets from secondary markets. This leads to adverse selectrion … become mutually reinforcing. We compare different policy measures that can mitigate the risk of inefficient liquidity dry …

-the-counter market network structures influence the liquidity of secured funding markets and crisis dynamics. We draw on the framework to …