Fecht, Falko; Nyborg, Kjell G.; Rocholl, Jörg - Deutsche Bundesbank - 2008
We study differences in the price paid for liquidity across banks using price data at the individual bank level. Unique … to gauge the extent to which a bank is short or long liquidity. We find that the price a bank pays for liquidity depends … on the liquidity positions of other banks, as well as its own. There is evidence that liquidity squeezes occasionally …