preferences of future trading counter-parties causes randomness in future resale prices that we call liquidity risk. It is natural … to suppose that investors are asymmetrically informed about liquidity risk. Through a process of liquidity discovery … liquidity is a forward-looking predictor of future liquidity risk and, as such, is priced. Liquidity discovery provides an …

market. A simple pricing kernel based on the aggregate value of MBS securities prices risk in the MBS market. The evidence …

) roots both at the zero (long-run) and at the cyclical frequencies. We examine the following series: inflation, real risk …

information because information reduces risk. By lowering risk, information raises the asset's price. Transitions between low …

This paper shows that systemic risk exerts a significant impact on the behavior of depositors, sometimes overshadowing … their responses to standard bank fundamentals. Systemic risk can affect market discipline both regardless of and through … problems. Second, systemic shocks can lead to a future deterioration of fundamentals and affect the exposure to systemic risk …