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Financial crises have been pervasive for many years. Their frequency in recent decades has been double that of the Bretton Woods Period (1945-1971) and the Gold Standard Era (1880-1993), comparable only to the period during the Great Depression. Nevertheless, the financial crisis that started in the summer of 2007 came as a great surprise to most people. What initially was seen as difficulties in the U.S. subprime mortgage market, rapidly escalated and spilled over first to financial markets and then to the real economy. The crisis changed the financial landscape worldwide and its full costs are yet to be evaluated. One important reason for the global impact of the 2007-2009 financial crisis was massive illiquidity in combination with an extreme exposure of many financial institutions to liquidity needs and market conditions. As a consequence, many financial instruments could not be traded anymore, investors ran on a variety of financial institutions particularly in wholesale markets, financial institutions and industrial firms started to sell assets at fire sale prices to raise cash, and central banks all over the world injected huge amounts of liquidity into financial systems. But what is liquidity and why is it so important for firms and financial institutions to command enough liquidity? This book brings together classic articles and recent contributions to this important field of research. It is divided into five parts. These are (i) liquidity and interbank markets; (ii) the public provision of liquidity and regulation; (iii) money, liquidity and asset prices; (iv) contagion effects; (v) financial crises and currency crises. The aim is to provide a comprehensive coverage of role of liquidity in financial crises.

Franklin Allen is the Nippon Life Professor of Finance and Professor of Economics at the Wharton School of the University of Pennsylvania. He has been on the faculty since 1980. He is currently Co-Director of the Wharton Financial Institutions Center. He is a past President of the American Finance Association.

Elena Carletti is Professor of Economics at the European University Institute and Joint Chair of the Economics Department and Robert Schuman Center for Advanced Studies.

Jan Pieter Krahnen is Chair of Corporate Finance at Johann Wolfgang Goethe-University Frankfurt.

Marcel Tyrell is Professor of Entrepreneurship & Finance at Zeppelin University, Friedrichshafen

Contributors:

Tanju Yorulmazer

Federal Reserve Bank of New York

Viral Acharya

New York University

Elena Carletti

European University Institute

Professor Douglas Gale

New York University

Sudipto Bhattacharya

London School of Economics

Prof. Jan Pieter Krahnen

Goethe University

Marcel Tyrell

Goethe University

Andrea L. Eisfeldt

Northwestern University

Xavier Freixas

Universitat Pompeu Fabra

Cornelia Holthausen

European Central Bank

Bengt Holmstrom

Massachusetts Institute of Technology

Jean Tirole

Toulouse School of Economics

Gary Gorton

Yale University

Lixin Huang

Georgia State University

Mark J. Flannery

University of Florida

Rafael Repullo

The Center for Monetary and Financial Studies

Jean-Charles Rochet

Toulouse School of Economics

Xavier Vives

IESE Business School, University of Navarra

Giovanni Dell'Ariccia

International Monetary Fund

Robert Marquez

Boston University

Doug Diamond

University of Chicago

Raghuram Rajan

University of Chicago

Nobuhiro Kiyotaki

Princeton University

John Moore

The University of Edinburgh

Juan Carlos Cordoba

Rice University

Marla Ripoll

University of Pittsburgh

Guido Lorenzoni

Massachusetts Institute of Technology

Amil Dasgupta

London School of Economics

Christian Upper

Deutsche Bundesbank

Andreas Worms

Deutsche Bundesbank

Dr Philipp Hartmann

European Central Bank

Dr. Stefan Straetmans

Maastricht University

Casper G. de Vries

Erasmus University Rotterdam

Itay Goldstein

University of Pennsylvania

Arvind Krishnamurthy

Northwestern University

Ricardo Caballero

Massachusetts Institute of Technology

Chapter 1 An Introduction to Liquidity and Crises
Franklin Allen, Elena Carletti, Jan Pieter Krahnen, and Marcel Tyrell
Section 1: Liquidity and Interbank Markets
Chapter 2 Preference Shocks, Liquidity and Central Bank Policy
Sudipto Bhattacharya/Douglas Gale (London School of Economics/New York University)
W. Barnett and K. Singleton, eds., New Approaches to Monetary Economics, Cambridge University Press, 1987, pp. 69-88.
Chapter 3 Endogenous Liquidity in Asset Markets
Andrea Eisfeldt (Northwestern University)
Journal of Finance, February 2004, 59, pp.1-30
Chapter 4 Financial Intermediaries and Markets
Franklin Allen/Douglas Gale (The Wharton School, University of Pennsylvania/New York University)
Econometrica, 72(4), July 2004, pp. 1023-106.1
Chapter 5 Financial Fragility, Liquidity and Asset Prices
Franklin Allen/Douglas Gale (The Wharton School, University of Pennsylvania/New York University)
Journal of the European Economic Association, 2(6), December 2004, pp. 1015-1048.
Chapter 6 Interbank Market Integration under Asymmetric Information
Xavier Freixas/Cornelia Holthausen (Universitat Pompeu Fabra, Barcelona/European Central Bank, Frankfurt)
Review of Financial Studies, 18(2), Summer 2005, pp. 459-90.
Chapter 7 Banks as Monitors of Other Banks: Evidence from the Overnight Federal Funds Markets
Craig Furfine (Federal Reserve Bank of Chicago)
Journal of Business, January 2001, 74, 33-57.
Section 2: Public Provision of Liquidity and Regulation
Chapter 8 Private and Public Supply of Liquidity
Bengt Holmstrom/Jean Tirole (MIT/ Universite Sciences Sociales, Toulouse)
Journal of Political Economy, February 1998, 106, pp.1-40.
Chapter 9 Liquidity, Efficiency and Bank Bailouts
Gary Gorton/Lixin Huang (The Wharton School, University of Pennsylvania/Georgia State University)
American Economic Review, 94(3), June 2004, pp. 455-483.
Chapter 10 Financial Crises, Payments System Problem and Discount Window Lending
Mark Flannery (University of Florida)
Journal of Money, Credit and Banking, November 1996, 28(4), pp. 804-824.
Chapter 11 Liquidity, Risk Taking, and the Lender of Last Resort
Rafael Repullo (CEMFI)
International Journal of Central Banking, 1, December 2005, pp. 47-80.
Chapter 12 Coordination Failures and the Lender of Last Resort: Was Bagehot Right after all?
Jean-Charles Rochet/Xavier Vives (University Sciences Sociales, Toulouse/IESE, University of Navarra)
Journal of the European Economic Association, 2(6), December 2004, pp. 1116-47.
Chapter 13 Competition among Regulators and Credit Market Integration
Giovanni Dell'Ariccia/Robert Marquez (IMF/Arizona State University)
Journal of Financial Economics, 79(2), February 2006, pp. 401-30.
Section 3: Money, Liquidity Crises and Asset Prices
Chapter 14 Money in a Theory of Banking
Douglas Diamond/Raghuram Rajan (University of Chicago)
American Economic Review, 96(1), March 2006, pp. 30-53.
Chapter 15 Liquidity and Asset Prices
Nobuhiro Kiyotaki/John Moore (Princeton University/University of Edinburgh)
International Economic Review, 46(2), May 2005, pp. 317-49
Chapter 16 Collateral Constraints in a Monetary Economy
Juan Cordoba/Marla Ripoll (Rice University/University of Pittsburgh)
Journal of the European Economic Association, 2(6), December 2004, pp. 1172-1205.
Chapter 17 Inefficient Credit Booms
Guido Lorenzoni (MIT)
Review of Economic Studies, 75(3), July 2008, pp. 809-833.
Section 4: Contagion Effects in Financial Crises
Chapter 18 Financial Contagion through Capital Connections: A Model of the Origin and Spread of Bank Panics
Amil Dasgupta (London School of Economics and Political Science)
Journal of the European Economic Association, 2(6), December 2004, pp. 1049-84.
Chapter 19 Information Contagion and Bank Herding
Viral V. Acharya/Tanju Yorulmazer (London Business School/Federal Reserve Bank of New York)
Journal of Money, Credit and Banking, February 2008, 40(1), pp. 215-231.
Chapter 20 Cash-in-the-market Pricing and Optimal Resolution of Bank Failures
Viral V. Acharya/Tanju Yorulmazer (London Business School/Federal Reserve Bank of New York)
Review of Financial Studies, November 2008, 21, pp. 2705-2742.
Chapter 21 Credit Risk Transfer and Contagion
Franklin Allen/Elena Carletti (The Wharton School, University of Pennsylvania/ J.W. Goethe-Universitat Frankfurt and CFS)
Journal of Monetary Economics, 2008, 53, 89-111.
Chapter 22 Estimating Bilateral Exposures in the German Interbank Market: Is there a Danger of Contagion?
Christian Upper/Andreas Worms (Bank for International Settlements/Deutsche Bundesbank)
European Economic Review, 48(4), August 2004, pp. 827-49.
Section 5: Financial Crises and Currency Crises
Chapter 23 Asset Market Linkages in Crisis Periods
Philipp Hartmann/Stefan Straetmans/Casper de Vries (European Central Bank/Maastricht University/Erasmus Universiteit Rotterdam)
Review of Economics and Statistics, 86(1), February 2004, pp. 313-326.
Chapter 24 Strategic Complementarities and the Twin Crises
Itay Goldstein (University of Pennsylvania)
Economic Journal, 115(503), April 2005, pp. 368-90
Chapter 25 Inefficient Foreign Borrowing: A Dual-and-Common-Agency Perspective
Jean Tirole (Universite Sciences Sociales, Toulouse)
American Economic Review, 93(5), December 2003, pp. 1678-1702.
Chapter 26 Exchange Rate Volatility and the Credit Channel in Emerging Markets: A Ricardo Caballero/Arvind Krishnamurthy (MIT/Northwestern University)
International Journal of Central Banking, 1(1), June 2005, pp. 207-45.
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