' funding liquidity and solvency. Both asset liquidity and central bank haircuts are modelled as power functions within the unit … interval. Funding stability is captured as strategic bank run game in pure strategies between depositors. Asset liquidity, the … bank collateral and why a sudden non-anticipated reduction of asset liquidity, or a tightening of the collateral framework …

The paper studies the central bank collateral framework and its impact on banks’ liquidity under an adverse stress test … scenario. We construct a stress test model that accounts for a granular and multi-faceted representation of the liquidity of … Southern European countries. Results show that illiquidity can trigger insolvency and that liquidity adjustment can last …

. Therefore, the analysis suggests that there is a lower bound for the amount of liquidity provided through short-term operations …

This paper argues that counter-cyclical liquidity hoarding by financial intermediaries may strongly amplify business … funding liquidity risk in their inter- mediation activity. Importantly, the amount of liquidity reserves held in the financial … liquidity, which strongly amplifies the initial shock and induces credit crunch dynamics sharing key features with the Great …

facilities corridor affects banks' day-to-day liquidity management and the volatility of the overnight rate. It is shown that the …

financial crisis, in which liquidity shocks become more erratic and the total costs of defaults increase, central banks may want …

We study how banks manage their liquidity among the various assets at their disposal. We exploit the introduction of … assets over time. Our results imply that frictions in one market for liquidity can spill over to several markets …

.6 percentage points and outflows decrease by 61% relative to otherwise similar funds. Following central bank liquidity provision to … banks, the growth rate of repo lending to funds by banks more exposed to the system-wide liquidity crisis was up to five …

liquidity shocks are analysed in a panel VAR framework. The results show that shocks in the securities and interbank markets … suggest that central bank liquidity has mitigated this effect most clearly on lending volumes. Lending to non …

This paper investigates the impact of ample liquidity provision by the European Central Bank on the functioning of the … main euro area payment system. To identify exogenous shocks to central bank liquidity, we exploit the timing of ECB … liquidity operations and use a simple structural vector auto-regression framework. We argue that the ECB acted as a de …