are high, the central bank assumes an intermediary function between liquidity surplus banks and liquidity deficit banks …

banks to have private information about the risk of their assets. We show how banks’ asset risk affects funding liquidity in … state with adverse selection and elevated rates; and iii) market breakdown with liquidity hoarding. We provide an … of unsecured rates and excess reserves banks hold, as well as the inability of massive liquidity injections by central …

decouple across secured and unsecured markets following an adverse shock to credit risk. The scarcity of underlying collateral …

The paper presents a simple model of banking behavior where portfolio, liquidity, and liability management determine …

theoretical foundation for rescuing Bagehot's view. Our theory does not rely on the multiplicity of equilibria that arises in … classical models of bank runs. We build a model of banks' liquidity crises that possesses a unique Bayesian equilibrium. In this … equilibrium, there is a positive probability that a solvent bank cannot find liquidity assistance in the market. We derive policy …

Traditionally, aggregate liquidity shocks are modelled as exogenous events. Extending our previous work (Cao & Illing …, 2007), this paper analyses the adequate policy response to endogenous systemic liquidity risk. We analyse the feedback … between lender of last resort policy and incentives of private banks, determining the aggregate amount of liquidity available …

fully collateralized repo market allows Central Banks to provide the adequate aggregated amount of liquidity and leave the … a framework where liquidity shocks cannot be distinguished from solvency ones and ask whether there is a need for a LOLR …

November 1930, the Banque de France (BdF) lent selectively rather than broadly, providing substantially more liquidity to …