In this paper we propose definitions of funding liquidity and funding liquidity risk and present a simple, yet intuitive, measure of funding liquidity risk based on data from open market operations. Our empirical analysis uses a unique data set of 135 main refinancing operation auctions...

Funding liquidity risk has played a key role in all historical banking crises. Nevertheless, a measure based on publicly available data remains so far elusive. We address this gap by showing that aggressive bidding at central bank auctions reveals funding liquidity risk. We can extract an...

Is central bank transparency associated with variation in macroeconomic outcomes? Cross-country data covering 87 countries is used to construct an index for transparency based upon the detail in central banks' published forecasts. After controlling for a number of other institutional and...