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 …

execution speed and cost. Central dealers provide immediacy by pre-arranging fewer trades and holding larger inventory. However …, trading costs increase strongly with dealer centrality. Investors with strong liquidity need trade with central dealers and at … times of market-wide illiquidity. Central dealers thus serve as liquidity providers of last resort …

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 …

-making activities while non-Volcker-affected dealers have stepped in to provide some additional liquidity. Furthermore, even Volcker … driven by these other regulations. Since Volcker-affected dealers have been the main liquidity providers, the net effect is …

likelihood of a trade and terms of trade and help buffer demand and supply shocks to liquidity. Specifically, the Fed's Reverse …