expected returns are hump-shaped. Liquidity is a priced risk factor: assets that suffer the most when liquidity decreases, e …We develop a dynamic model of liquidity provision, in which hedgers can trade multiple risky assets with arbitrageurs …. We compute the equilibrium in closed form when arbitrageurs' utility over consumption is logarithmic or risk-neutral with …

The paper analyses and compares the role that the tightening in liquidity conditions and the collapse in risk appetite … empirical exercise with a Global VAR approach, the findings highlight the diversity of the transmission process. While liquidity … shocks have had a more severe impact on advanced economies, it was mainly the decline in risk appetite that affected emerging …

finds that common shocks--key crisis events as well as changes to global liquidity and risk--have exerted a large effect on … risk and the strength of domestic macroeconomic fundamentals. Comparing and quantifying these effects shows that common …

trend in yield differentials, which is correlated with a measure of aggregate risk. In contrast, liquidity differentials … differentials should increase in both liquidity and risk, with an interaction term of the opposite sign. Testing these predictions … on daily data, we find that the aggregate risk factor is consistently priced, liquidity differentials are priced for a …

The paper analyses the transmission of liquidity shocks and risk shocks to global financial markets. Using a Global VAR … strong during the 2010-11 sovereign debt crisis, with risk shocks driving down bond yields in key advanced economies. The …

, when the fraction of qualified owners is smaller, or when risk aversion, volatility, or hedging demand are larger. Supply …

is shown to alleviate the effects of these restrictions and improve the transfer of risk amongst investors. When the …

and unfunded systems when there are sources of uninsurable risk that are allocated in different ways by different types of …

risk aversion. We solve for equilibrium in two versions of this economy. In the first version, risk-sharing opportunities …