Following spikes in aggregate uncertainty, firm-level physical capital drops along with large liquidity buildup and deleveraging. Conventional macro-finance models treating corporate cash holding as net debt fail to capture the observed liquidity buildup when reproducing deleveraging, leaving an...

Using daily data, this paper empirically investigates the price discovery and information transmission in China's stock index futures and spot markets based on a VAR-GARCH model with SSAEPD margins. By comparing our model with classic VAR-GARCH model, we discover that our model can better...