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 …

shock to the sector - a measure of the systemic risk of each sector. Tail centrality is theoretically and empirically very …

factor shocks: increased parameter heterogeneity reduces shock sensitivity. Allowing for regional parameter heterogeneity … heterogeneity. The regional model also exhibits less shock sensitivity …

, the impact of transaction costs on per-annum liquidity premia is an order of magnitude smaller than the cost rate itself …. A number of recent papers have formed portfolios sorted on liquidity measures and found a spread in expected per … empirical magnitude of the liquidity premium by examining dynamic portfolio choice with transaction costs in a variety of more …

market liquidity to vary from `normal' periods, when all assets are fully liquid, to 'illiquidity crises,' when some assets … can only be traded infrequently. The possibility of a liquidity crisis leads to limited arbitrage in normal times …

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 …