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

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

volatility across different time scales. We call this property asymmetric vertical dependence. It is asymmetric in the sense that … a low volatility state (regime) at a long time horizon is most likely followed by low volatility states at shorter time … horizons. On the other hand, a high volatility state at long time horizons does not necessarily imply a high volatility state …

This paper develops a computable dynamic general equilibrium model in which corporate demand for liquidity is … endogenously determined. In the model liquidity demand is motivated by moral hazard as in Holmstrom and Tirole (1998). As a result … of incorporating agency cost and endogenously determined liquidity demand, the model can replicate an empirical business …