I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several … liquidity risk factor. Results show that the level of bank returns is not directly affected by the SLRI, but their volatility … increases when liquidity conditions deteriorate. I do not find a strong association between bank size and exposure to the SLRI …

attention was paid to the potential spillover of excess liquidity. This paper suggests a notional level of ""optimal"" liquidity …

coincided with a significant rise in global liquidity. This paper attempts to determine the extent to which the rise in asset … prices was influenced by developments in global liquidity. We confirm that global liquidity had a significant impact on the … impact of global liquidity declined during the period of the Great Moderation. The paper also examines spillovers from global …

What is global liquidity and how does it affect an economy? The paper addresses that question by looking at liquidity … from two different perspectives: global liquidity as availability of funds in safe and risky asset markets. This … policy to restore a function of risky asset markets. To analyze the effect of global liquidity, I construct proxy variables …

This paper develops a small open economy model where global and domestic liquidity is intermediated to the corporate … to entrepreneurs and commercial banks intermediate domestic savings to liquidity constrained final good producers. Both … dynamics, global liquidity spillovers, domestic money market pressures, and macrofinancial linkages through which shocks …

This paper studies a novel type of misallocation of credit between investments of varying liquidity. One type of …-term welfare and output in a constrained inefficient equilibrium if it raises the liquidity of the liquid type. I show a maximum …

. 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 …