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 …

This paper explores liquidity movements in stock and Treasury bond markets over a period of more than 1800 trading days …. Cross-market dynamics in liquidity are documented by estimating a vector autoregressive model for liquidity (that is, bid … in one market affects the spreads in both markets, and that return volatility is an important driver of liquidity …

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 …

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 …

Following previous research which established that liquidity commonality exists within one stock market over a short … period of time, this paper finds that liquidity commonality also exists globally. Utilising a large number of stock exchanges … and a twelve year research time frame, this paper observes that liquidity commonality exists in both developed and …

The most recent global financial crisis, characterized as a liquidity crunch, began in the U.S. in late 2007 and … quickly spread to other countries. The rapid propagation of the liquidity shock and the severe effects of the crisis on stock … market performance have raised several important questions. Which channels contributed to the transmission of liquidity …