TY  - BOOK
AU  - Fecht,Falko
AU  - Nyborg,Kjell G.
AU  - Rocholl,Jörg
TI  - The price of liquidity: bank characteristics and market conditions 
T2  - Working paper series
U1  - 332.1068 21
PY  - 2011///
CY  - Frankfurt am Main
PB  - European Central Bank
KW  - LIQUIDEZ BANCARIA
KW  - ALEMANIA
N1  - Bibliografía: p. 48-51
N2  - We study the prices that individual banks pay for liquidity (captured by borrowing rates in repos with the central bank and benchmarked by the overnight index swap) as a function of market conditions and bank characteristics. These prices depend in particular on the distribution of liquidity across banks, which is calculated over time using individual banklevel data on reserve requirements and actual holdings. Banks pay more for liquidity when positions are more imbalanced across banks, consistent with the existence of short squeezing. We also show that small banks pay more for liquidity and are more vulnerable
to squeezes. Healthier banks pay less but, contrary to what one might expect, banks in formal liquidity networks do not. State guarantees reduce the price of liquidity but do not protect against squeezes
UR  - https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1376.pdf?9d38c0b0d93e61280b5ede76f035b936
ER  -