We analyze how the Lehman and sovereign crises affect cross-border interbank liquidity, exploiting euro … foreign lenders. Crisis shocks reduce the supply of cross-border liquidity, with stronger volume than pricing effects. On the … margin—riskier borrower banks suffer more. Moreover, the cross-border liquidity crunch is substantially stronger for term …

We develop a quantitative macroeconomic framework with heterogeneous financial intermediaries and active liquidity …. Using our empirically validated framework, we explore secular trends in interbank trading, the roles of liquidity and …

network. We first provide a characterization of the unique equilibrium of banks' liquidity holdings for any network of credit … aggregate liquidity holdings. This incurs an implicit cost, since these funds could be invested in the more productive illiquid …

We develop a model in which financial intermediaries hold liquidity to protect themselves from shocks. Depending on … parameter values, banks may choose to hold too much or too little liquidity on aggregate compared with the socially optimal … underinsurance against liquidity choice. The model therefore provides a unified framework for thinking, on the one hand, about policy …

central bank's liquidity policy. In October 2011, to encourage interbank trading, banks were allotted quotas for their … market operations to counteract not only temporary liquidity shortfalls, but also surpluses. We document substantially higher …

according to a Basel II or III macro-prudential frameworks and manage their liquidity in the interbank market. The Central Bank … crises and the emergence of deep downturns. This requires the timely intervention of the Central Bank as a liquidity lender … the Liquidity Coverage Ratio spurs financial instability by increasing the pro-cyclicality of banks' liquid reserves, a …

market. Banks are subject to random liquidity shocks and can form links with potential trading partners to bilaterally Nash …