Market liquidity is typically characterized by a number of ad hoc metrics, such as depth, volume, bid-ask spreads etc … grounds. In this paper we propose a welfare-based denition of liquidity and characterize its relationship to the usual proxies … intermediaries pursue prot opportunities by providing intermediation services (i.e. "liquidity") in exchange for an endogenous fee …

Motivated by the financial crisis of 2007-2009 several papers have provided explanations for why liquidity may dry up … during market stress. This paper also looks at this issue but focuses on the question as to why the liquidity crunch was not … need to provide longer-term liquidity. The paper asks what market failure central banks were addressing by intervening and …

identical, implying that the concentration of liquidity in one asset is socially desirable. At the same time, too many buyers …

Money markets have two functions, the allocation of liquidity and the processing of information. We develop a model … that due to its size, a large bank receives a more precise signal about the overall liquidity development in the banking … sector. In an upcoming liquidity shortage this large bank can exploit its informational advantage in the spot money market by …

Motivated by the financial crisis of 2007-2009 several papers have provided explanations for why liquidity may dry up … during market stress. This paper also looks at this issue but focuses on the question as to why the liquidity crunch was not … need to provide longer-term liquidity. The paper asks what market failure central banks were addressing by intervening and …

should market liquidity dry up. In a first step, this paper explains why high quality firms introduce a maturity mismatch …

Market liquidity is typically characterized by a number of ad hoc metrics, such as depth (or market impact), volume … the existing metrics on welfare grounds. In this paper we propose a welfare-based denition of liquidity and characterize … intermedia- tion services (i.e. \liquidity") in exchange for an endogenous fee. Our model is well suited to study the contagion …

sampling frequency of the data; iii) volatility, the limit order book, and liquidity, in terms of tightness, depth, and … empirical evidence about stock market volatility, liquidity, limit order books, and market frictions, and provides a natural …