original set of market activity and liquidity proxies constructed from both pre- and post-trade data. The empirical literature … liquidity in a market dominated by utilitarian traders. We provide evidence that the Eurosystem's operational framework and … participants when reserve requirements become binding lead to a deterioration of market liquidity. Our analysis additionally turns …

very precise information from the largest European bond futures market. The results show that the price response to public …

The market-oriented approach promoted by the European Central Bank in the design of its refinancing operations creates … incentives to credit insitutions to use actively the interbank market to manage their liquidity needs. In this context, we … their liquidity shocks. This paper specifically focuses on the speed of reversion of transaction costs and available depth …

and transparency for liquidity of corporate bond markets. We have applied it to the illiquid segments of the European …This paper offers a new framework for the assessment of financial market liquidity and identifies two types: search … liquidity and systemic liquidity. Search liquidity, i.e. liquidity in “normal” times, is driven by search costs required for a …

. This trade-off generates a number of insights about the impact of market conditions, e.g. liquidity and trading horizons …

finds that common shocks – key crisis events as well as changes to global liquidity and risk – have exerted a large effect …

We study the prices that individual banks pay for liquidity (captured by borrowing rates in repos with the central bank … and benchmarked by the overnight index swap) as a function of market conditions and bank characteristics. These prices … depend in particular on the distribution of liquidity across banks, which is calculated over time using individual banklevel …