and their implementation, payment systems and private market structures) and its implications for intraday volatility …, quoting activity, trading volume and bid-ask spreads in the overnight deposit segment. Volatility and spreads increase right … sample period. Main refinancing operations with the open market are associated with active liquidity re-allocation, little …

This paper examines the cross-dynamics of volatility term structures implied by foreign exchange options. The data used … common factors can explain a vast proportion of the variation in volatility term structures across currencies. Furthermore …, the results indicate that the euro is the dominant currency, as the implied volatility term structure of the euro is found …

This paper presents empirical evidence that the corporate bond market is forward looking with respect to volatility. I … use the Merton (1974) model to calculate a measure of implied volatility from corporate bond yield spreads. I find that … corporate bond transaction prices contain substantial information about future volatility: When predicting future volatility in …

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 … trader to find a willing buyer for an asset he/she is trying to sell or vice versa. Search liquidity is asset specific …

. 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 … depend in particular on the distribution of liquidity across banks, which is calculated over time using individual banklevel … data on reserve requirements and actual holdings. Banks pay more for liquidity when positions are more imbalanced across …

may amplify the volatility of interest rates in secured markets. We use the model to discuss various policy responses to …

We discuss the notion of liquidity and liquidity risk within the financial system. We distinguish between three … different liquidity types, central bank liquidity, funding and market liquidity and their relevant risks. In order to understand … the workings of financial system liquidity, as well as the role of the central bank, we bring together relevant literature …