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

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …

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 …

persistence of liquidity shocks. Following a theory of long-term interbank funding a financial system which is modeled as a micro … policy and therefore ultimately the real economy. In particular, it facilitates banks' liquidity management. This paper aims … at extending the literature which views interbank markets as mutual liquidity insurance mechanism by taking into account …

dealing with large investor redemptions in the presence of liquidity mismatches. Their tools notwithstanding, bond OEFs had to …

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 …

I study rollover risk in the wholesale funding market when intermediaries can hold liquidity ex-ante and are subject to … fire sales ex-post. I demonstrate that precautionary liquidity restores multiple equilibria in a global rollover game. An … intermediate liquidity level supports both the usual run equilibrium and an efficient equilibrium. I provide a uniqueness …

empirically test the predictions of a new signalling model that offers a rationale for offering two different liquidity facilities … risky than banks that accessed the DW. Our results can contribute to a better design of liquidity facilities during a …