Credit market freezes in which debt issuance declines dramatically and market liquidity evaporates are typically … bonds declined, and secondary credit markets became highly illiquid. In this paper we analyze liquidity in bond markets … during financial crises and compare two main theories of liquidity in markets: (1) asymmetric information and adverse …

liquidity may be related positively to the longer-term probability of default. Our empirical analysis confirms these predictions …

reserves, which are also claims on liquidity. In ordinary times, when these claims are not called on, central bank balance … sheet expansion will typically enhance the net availability of liquidity to the system. However, in times of stress when … these offsetting claims on liquidity are exercised, the demand for liquidity can be significantly more. Furthermore, liquid …

, under certain circumstances, the credit channel transmission mechanism fails in that liquidity injections by the central … show how they can arise due to the interplay between financing frictions, liquidity, and collateral values. Our analysis …

drying up of liquidity. Financial firms raise short-term debt in order to finance asset purchases. When asset fundamentals … worsen, debt induces firms to risk-shift; this limits their funding liquidity and their ability to roll over debt. Firms may … de-lever by selling assets to better-capitalized firms. Thus the market liquidity of assets depends on the severity of …

This paper solves explicitly an equilibrium asset pricing model with liquidity risk -- the risk arising from … unpredictable changes in liquidity over time. In our liquidity-adjusted capital asset pricing model, a security's required return … depends on its expected liquidity as well as on the covariances of its own return and liquidity with market return and market …