Tag Archives: funding costs

New working paper: Liquidity Risk and Funding Cost

I am happy to share with you our new working paper “Liquidity Risk and Funding Cost”, available at https://ssrn.com/abstract=3391129. The paper is joint work with Angelo Ranaldo and Jan Wrampelmeyer. We propose and test a new channel that outlines how funding liquidity risk affects interest rates in short-term funding markets – the funding liquidity risk channel. Unlike…

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