Systemic illiquidity in the interbank network
利用银行每日现金流、短期银行间融资和流动性资产缓冲的独特数据，研究系统性流动性不足如何通过银行间融资网络在多日内传播，并发现将流动性资产向网络中重要银行倾斜的宏观审慎政策能最小化系统性流动性不足。
We study systemic illiquidity using a unique dataset on banks' daily cash flows, short-term interbank funding and liquid asset buffers. Failure to roll-over short-term funding or repay obligations when they fall due generates an externality in the form of systemic illiquidity. We simulate a model in which systemic illiquidity propagates in the interbank funding network over multiple days. In this setting, systemic illiquidity is minimised by a macroprudential policy that skews the distribution of liquid assets towards banks that are important in the network.