and run risk. Banks choose between liquid and illiquid assets on the asset side, and between deposits and equity on the … as to provide liquidity and risk-sharing services to the real economy. Our modifications create wedges in the asset and … joint implementation of a capital and a liquidity regulation …

This paper studies how over-the-counter market liquidity is affected by securities lending. We combine micro-data on … program in 2008 caused a statistically and economically significant reduction in the market liquidity of corporate bonds … predominantly held by AIG. We also show that an important mechanism behind the decrease in corporate bond liquidity was a shift …

We study the fragility of discretionary liquidity provision by major financial intermediaries during systemic events … discretionary liquidity provision greatly affected both net investor demand and auction clearing rates. Importantly, such … discretionary liquidity provision is fragile. As auction dealers suffered losses from other financial markets and faced increasing …

We study the relationship between volatility and liquidity in the market for on-the-run Treasury securities using a … to volatility in future, perhaps because liquidity is more reliant on high-speed quote replenishment and is therefore …

Treasury securities normally possess unparalleled safety and liquidity and, consequently, carry a money premium. We use … the money premium, safety, and liquidity. Our results shed light on Treasury market dynamics specifically, and debt more …. Meanwhile, changes in liquidity only affected the money premium during the impasses. Next, we show that Treasury safety and …

Market liquidity is expected to facilitate arbitrage, which in turn should affect the liquidity of the assets traded by … that liquidity is an important determinant of the efficacy of the ETF arbitrage. For less liquid bond ETFs, Granger …-causality tests and impulse responses suggest that this relationship is stronger and more persistent, and liquidity spillovers are …

quantities that are highly skewed to the downside due to financial crises and the liquidity trap. Consequently, symmetric …