Can banks maintain their advantage as liquidity providers when they are heavily exposed to a financial crisis? The … liquidity insurer is not one of the passive recipient, but of an active seeker, of deposits. We find that banks facing a funding … liquidity demand shocks (as measured by their unused commitments, wholesale funding dependence, and limited liquid assets), as …

This paper explores how international money markets reflected credit and liquidity risks during the global financial … markets, while liquidity risk caused the difference across the currency denominations. They also support the view that a … shortage of US dollar as liquidity distorted the international money markets during the crisis. We find that coordinated …

the results in Pástor and Stambaugh (2003). Both studies successfully replicate our market-wide liquidity measure and find … similar estimates of the liquidity risk premium. In the sample period after our study, the liquidity risk premium estimates … are even larger, and the liquidity measure displays sharp drops during the 2008 financial crisis. We respond to both …

. Such a funding-liquidity crisis gives rise to "bases," that is, price gaps between securities with identical cash-flows but …

market liquidity and shorter debt maturity can exacerbate this externality and cause costly firm bankruptcy at higher … fundamental thresholds. Our model provides implications on liquidity-spillover effects, the flight-to-quality phenomenon, and …

Financial assets provide return and liquidity services to their holders. However, during severe financial crises many … asset prices plummet, destroying their liquidity provision function at the worst possible time. In this paper we present a … not control or understand. The liquidity of the market quickly vanishes and a financial crisis ensues. The model exhibits …

Given the cross-sectional and temporal variation in their liquidity, emerging equity markets provide an ideal setting … to examine the impact of liquidity on expected returns. Our main liquidity measure is a transformation of the proportion … of zero daily firm returns, averaged over the month. We find that our liquidity measures significantly predict future …

This study investigates whether market-wide liquidity is a state variable important for asset pricing. We find that … expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity …. Our monthly liquidity measure, an average of individual-stock measures estimated with daily data, relies on the principle …

This paper studies a model where money is valued for the liquidity services it provides in the future. These liquidity … services cannot be provided by any other asset. Changes in expectations of the value of future liquidity services affect the …. Furthermore, shifts between money and other assets that are driven by precautionary liquidity demand make nominal interest rates …

financial crisis. Yet we know little about the actual magnitudes and mechanisms for transmission of liquidity shocks through … studies conducted in eleven countries to explore liquidity risk transmission. Among the main results is, first, that … explanatory power of the empirical model is higher for domestic lending than for international lending. Second, how liquidity risk …