-arbitrage term structure models, we show that TIPS yields contained liquidity premiums as large as 100 basis points when TIPS were … liquidity premiums in index-linked gilt yields that spiked to nearly 250 basis points at the height of the crisis. Ignoring TIPS … liquidity premiums is shown to significantly distort the information content of TIPS yields and TIPS breakeven inflation rate …

represents a positive cash balance for the dealer that can be an important source of liquidity. The model shows that dealers with … prediction on haircut sensitivities. …

, trading costs increase strongly with dealer centrality. Investors with strong liquidity need trade with central dealers and at … times of market-wide illiquidity. Central dealers thus serve as liquidity providers of last resort. …

In today's markets where high frequency traders (HFTs) act as both liquidity providers and takers, I argue that … information asymmetry induced by liquidity-taking HFTs' use of machine-readable information is important. This particular type of … experiment of index inclusion, I show that liquidity-providing HFTs supply less liquidity to stocks that suffer more from this …

While the balance sheet structure of U.S. banks influences how they respond to liquidity risks, the mechanisms for the …-sectional differences in response to liquidity risk depend on the banks' shares of core deposit funding. By contrast, differences across … global banks (those with foreign affiliates) are associated with ex ante liquidity management strategies as reflected in …

controlling for standard risk factors. Liquidity deteriorates on FTS days both in the bond and equity markets. Both economic …

provision, rather than volume of orders, over volatility. To this end, we propose a new measure, relative liquidity (RLIQ … price. Higher liquidity provision farther away from the best quotes, relative to the rest of the book, is associated with a …

Theory suggests the reduction in financing capacity after the failure of a financial intermediary can reduce the value … of financial assets. Forced sales of the intermediary's assets could consume liquidity, depressing the liquidation value …