Under Basel III rules, banks become subject to a liquidity coverage ratio (LCR) from 2015 onwards, to promote short …-term resilience. We investigate the effects of such liquidity regulation on bank liquid assets and liabilities. Results indicate co …-integration of liquid assets and liabilities, to maintain a minimum short-term liquidity buffer. Still, microprudential regulation …

Liquidity is a key consideration in financial markets, especially in times of financial crises. For this reason …, regulations aiming at ensuring funding liquidity or, in general, reducing certain risky positions have the side effect of reducing … market liquidity. To understand this effect, we extend a standard general equilibrium model with transaction costs of trading …

This paper investigates increased liquidity provision by market makers resulting from their ability to reduce balance …-by-trade data from sovereign bond markets, we show that liquidity provision by CCP members decreased to a lesser extent following …

. Liquidity stress tests have been applied in parallel to and independently from solvency stress tests, based on scenarios which … testing of solvency and liquidity: our approach exploits the mechanisms underlying the solvency-liquidity nexus to derive … relations between solvency shocks and liquidity shocks. These relations are then used to model liquidity and solvency risk in a …