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We propose a novel conceptual approach to transparently characterizing credit market outcomes in economies with multi-dimensional borrower heterogeneity. Based on characterizations of securities' implicit demand for bank equity capital, we obtain closed-form expressions for the composition of...
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This research presents evidence for the existence of differences in asset beta risk in the liquidity cross-section of … assets due to correlated trading. It is argued that due to differences in liquidity or cost, most trading activity is … concentrated on the subset of liquid assets. In the presence of systematic wealth shocks this leads to an increase in beta risk for …
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This paper investigates liquidity spillovers between the US and European interbank market during turbulent and tranquil … propagation of liquidity shocks within the interbank market, while predicting liquidity crashes characterised by changed dynamics …. We show that liquidity shocks, originating from movements of the spread between the Asset Backed Commercial Paper and T …
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