Banks' strategic interaction, adverse price dynamics and systemic liquidity risk
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More about this item
Keywords
Systemic liquidity risk; market liquidity; funding liquidity; contagion; fire sales;All these keywords.
JEL classification:
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G01 - Financial Economics - - General - - - Financial Crises
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2022-04-18 (Banking)
- NEP-CBA-2022-04-18 (Central Banking)
- NEP-RMG-2022-04-18 (Risk Management)
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