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 …

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 …This paper argues that counter-cyclical liquidity hoarding by financial intermediaries may strongly amplify business …

This paper addresses the trade-off between additional loss-absorbing capacity and potentially higher bank risk … increase their risk-taking. This increase in risk-taking however, should be more than outweighed by the benefits of higher …

We analyze the pledging behavior of Euro area banks during the introduction of the liquidity coverage ratio (LCR). The … national liquidity requirements to proxy for banks' incentives to exploit this differential treatment of central bank eligible … national liquidity requirement pledge more and less liquid collateral than banks with a preceding national liquidity …

In this paper we study the impact of shocks to global risk and global risk aversion (such as Lehman) as well as shocks … securities which are consistently safe haven assets, namely experiencing portfolio inflows when risk is on the rise or perceived … in certain risk measures. We also find that the role of US-based crises and risk shocks is special, with the US not …

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 … scenarios: the EBA regulatory stress test exercise, a shock to Russia and the Eastern European countries, and a shock to the …

of EU MMFs at a daily frequency. First, we find that investment in private debt assets exposes MMFs to liquidity risk … stable NAV, face higher redemptions than other fund types. The risk of breaching the regulatory NAV limit may have … incentivised outflows among some LVNAV investors in March 2020. Third, MMFs with lower levels of liquidity buffers use their …

shock. Our contagion mechanism operates through a dual channel of liquidity and solvency risk. The joint modelling of banks …This paper shows how the combined endogenous reaction of banks and investment funds to an exogenous shock can amplify … model of contagion propagation using a very large and granular data set for the euro area. Based on the economic shock …

implications of its risk-taking for the wider financial system and real economy. This paper provides empirical evidence for the … existence of widespread risk-taking incentives in the investment fund sector, with a particular focus on incentives for … synchronised, cyclical risk-taking which could have systemic effects. Incentives arise from the positive response of investors to …

finds that common shocks – key crisis events as well as changes to global liquidity and risk – have exerted a large effect …, country risk and the strength of domestic macroeconomic fundamentals. Comparing and quantifying these effects shows that …