provided liquidity against a range of assets during 2008-09. Dealers with lower equity returns and greater leverage prior to … liquidity in explaining dealer behavior. The results suggest that both financial performance and balance sheet liquidity play a …

sensitivity of these strains to risk sentiment deterioration. Cross-border flows through banks for excess liquidity support … facilities leaves longer-term patterns of cross-border liquidity and capital flows broadly unchanged. While official sector … liquidity hoarding and “dash for cash” activity are expected to be lower with access to these facilities, initial evidence does …

market liquidity over time, when dealer balance sheet utilization reaches sufficiently high levels, liquidity is much worse …

This paper examines market liquidity in the post-crisis era in light of concerns that regulatory changes might have … considering additional drivers of market liquidity. We document a stagnation of dealer balance sheets after the financial crisis … liquidity. …

We propose a new class of dynamic order book models that allow us to 1) study episodes of extreme low liquidity and 2 …) unite liquidity and volatility in one framework through which their joint dynamics can be examined. Liquidity and volatility … safety as having much lower market depth, along with higher trading volume and greater price uncertainty. -- liquidity …

This paper examines the Federal Reserve's unprecedented liquidity provision during the financial crisis of 2007 …-2009. It first reviews how the Fed provides liquidity in normal times. It then explains how the Fed's new and expanded … liquidity facilities were intended to enable the central bank to fulfill its traditional lender-of-last-resort role during the …

This paper explores liquidity spillovers in market-capitalization-based portfolios of NYSE stocks. Return, volatility …, and liquidity dynamics across the small- and large-cap sectors are modeled by way of a vector autoregression model, using … data that spans more than 3,000 trading days. We find that volatility and liquidity innovations in one sector are …

more highly correlated; moreover, at these times, money supply positively affects financial market liquidity, albeit with a … lag of two weeks. During normal times, increases in mutual fund flows enhance stock market liquidity and trading volume …, but during financial crises, U.S. government bond funds see higher inflows, resulting in increased bond market liquidity …