-linear, and involves feedback from the banking system in the form of credit contraction. When borrowers repay, the effect ‘passes … through’ the bank balance sheet; once borrowers default, asset prices drive bank capital, and constrained credit in turn …

trading turnover as a measure of liquidity and the 1976-1993 Tokyo Stock Exchange data, I find that, cross-sectionally, stocks … with higher turnover tend to have a lower expected return. This evidence is consistent with predictions derived from an … Amihud-Mendelson type of transaction cost model in which the turnover measures investors’ trading frequency. The trading …

differential effects on various age groups. We show that, in a life-cycle model with income heterogeneity and credit constraints … income and credit market shocks. Our findings suggest that the financial liberalisation of the early Eighties was crucial for …