invalid at the limits of the domain of definition of the localizing coefficient c because of a failure in tightness and the …

rates, bond risks, and liquidity explain the trends before 2008 and the unusual developments in the fall of 2008. Low … inflation-indexed yields and high short-term volatility of inflation-indexed bond returns do not invalidate the basic case for …

, then the economy will fall into a liquidity trap today. …

The possibility of default limits available liquidity. If the potential default draws nearer, a liquidity crisis may … endogenous contracts, including endogenous margin requirements on loans. This in turn allows GE to explain liquidity and … liquidity crises in equilibrium. A formal definition of liquidity is presented. When new information raises the probability and …

run are generated. A "liquidity black hole" is the analogue of the run outcome in a bank run model. Short horizon traders … liquidity black hole comes into existence. Empirical implications include the sharp V-shaped pattern in prices around the time … of the liquidity black hole. …

contracts, including endogenous margin requirements on loans. This in turn allows GE to explain liquidity and liquidity crises … in equilibrium. A formal definition of liquidity is presented. When new information raises the probability a fixed income …

A recent literature shows how an increase in volatility reduces leverage. However, in order to explain pro …-cyclical leverage it assumes that bad news increases volatility, that is, it assumes an inverse relationship between first and second … volatility. We show that, in a model with endogenous leverage and heterogeneous beliefs, agents have the incentive to invest …

structure determines aggregate volatility. We show that the maximal aggregate volatility is attained in a noise free information … the common component, as in Lucas (1972). The upper bound on aggregate volatility is linearly increasing in the variance …

A recent literature shows how an increase in volatility reduces leverage. However, in order to explain pro …-cyclical leverage it assumes that bad news increases volatility, that is, it assumes an inverse relationship between first and second … volatility. We show that, in a model with endogenous leverage and heterogeneous beliefs, agents have the incentive to invest …