Market liquidity is typically characterized by a number of ad hoc metrics, such as depth, volume, bid-ask spreads etc … grounds. In this paper we propose a welfare-based denition of liquidity and characterize its relationship to the usual proxies … intermediaries pursue prot opportunities by providing intermediation services (i.e. "liquidity") in exchange for an endogenous fee …

identical, implying that the concentration of liquidity in one asset is socially desirable. At the same time, too many buyers …

I construct a tractable model to evaluate the liquidity shock hypothesis that exogenous shocks to equity market … liquidity are an important cause of the business cycle. After calibrating the model, I find that a large and persistent negative … liquidity shock can generate large drops in investment, employment and output. Contrary to the hypothesis, however, a negative …

This paper integrates limited participation into monetary search theory to analyze the liquidity effects of open market … economy, a shock to bond sales has two distinct liquidity effects. One is the immediate liquidity effect on the bond price and … the nominal interest rate. The other is a liquidity effect in the goods market starting one period later, i.e., the effect …

Market liquidity is typically characterized by a number of ad hoc metrics, such as depth (or market impact), volume … the existing metrics on welfare grounds. In this paper we propose a welfare-based denition of liquidity and characterize … intermedia- tion services (i.e. \liquidity") in exchange for an endogenous fee. Our model is well suited to study the contagion …

hypothesis that shocks to equity market liquidity are an independent source of the business cycle. In this paper I construct a … equilibrium. After calibrating the model to the US data, I find that a negative liquidity shock in the equity market can generate …. This response of equity price occurs as long as a negative liquidity shock tightens firms' financing constraints on …

sampling frequency of the data; iii) volatility, the limit order book, and liquidity, in terms of tightness, depth, and … empirical evidence about stock market volatility, liquidity, limit order books, and market frictions, and provides a natural …

entrepreneurs who face liquidity frictions in the equity market and a collateral constraint in the debt market. After calibrating … the model to the US data, we quantitatively examine how aggregate activity is affected by a shock to equity liquidity and …