Brunnermeier, Markus K.; Pedersen, Lasse Heje - In: Review of Financial Studies 22 (2009) 6, pp. 2201-2238
We provide a model that links an asset's market liquidity (i.e., the ease with which it is traded) and traders' funding liquidity (i.e., the ease with which they can obtain funding). Traders provide market liquidity, and their ability to do so depends on their availability of funding....