contraction in credit and to liquidity spirals. Subsequent measures by policymakers can be interpreted as attempts to avoid …

This paper proposes a positive theory of the links between banks' capitalisation and their liquidity risk taking, the … extent of fire-sale problems, and the severity of liquidity crises. In a basic framework with a single bank, we find that … banks' incentives to hold liquidity for precautionary reasons are increasing with their capital. In a continuum …

We conduct an empirical investigation of the pricing and economic sources of commonality in liquidity in the U.S. REIT … market. Taking advantage of the specific characteristics of REITs, we analyze three types of commonality in liquidity: within … evidence that the three types of commonality in liquidity are priced in REIT returns but only during bad market conditions. We …