illiquid assets or underprovision of liquidity. We investigate whether imperfect competition (Cournot) improves welfare through … internalizing the externality and find that this is far from guaranteed. In a standard model of liquidity shocks, when liquidity is … sufficiently scarce, Cournot competition leads to even less liquidity than the Walrasian equilibrium. In a standard model of …

aggregate liquidity shocks and firms against losing liquidity at will of banks. During aggregate liquidity shocks, banks need to … ration liquidity, and covenants allow banks to revoke credit lines if firms' accounting-performance measures fall below a … threshold. Thereby, accounting covenants constrain banks' discretion in rationing liquidity in a systematic way. Transitory …

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 …

In this paper we introduce two measures, the Systemic Liquidity Buffer (SLB) and the Systemic Liquidity Shortfall (SLS …) to assess liquidity in the banking system. The SLB takes an aggregated perspective on liquidity risks in the banking … system. In contrast, the SLS focusses on the problematic banks which suffer a liquidity shortfall. These measures provide an …

We analyze the determinants of individual bank failures arising from solvency and liquidity shortages in a stylized … arising from solvency and liquidity shortages …

We propose a novel theory of banks' liquidity management and financial fragility. Banks hold liquidity and an illiquid … depositors are sufficiently risk averse, banks manage their liquidity needs during runs following an endogenous pecking order …: they first deplete liquidity, and then liquidate the productive asset. Thus, under these conditions banks subject to runs …

We study the role of captive finance in the car loan market when manufacturers' liquidity demand increases. Using a new … multi-country dataset on securitized car loans, we show that captive lending enables a liquidity constrained integrated … exploit quasi-exogenous variation in manufacturers' liquidity cost and need following the Volkswagen emissions scandal to …

-shares of the same fund during the unprecedented liquidity crisis in March 2020. For an average bond or equity mutual fund … collective "dash for cash" by consumers and firms in need of liquidity at the outset of the COVID-19 pandemic was not the source …

Purpose - This work seeks to investigate post-crisis measures banks have adopted in a bid to manage liquidity risk. It … financial meltdown. During the crisis, liquidity risk management disclosure was crucial for confidence building in market … participants. Design/methodology/approach - The study investigates if Basel II pillar 3 disclosures on liquidity risk management …

, and its liquidity beta (liquidity risk), as measured by the covariation of its return with unexpected changes in aggregate …. These findings therefore highlight the importance of accounting for both liquidity level and liquidity risk in risk …This paper distinguishes between a stock's liquidity (liquidity level), as measured by the average cost of trading it …