Repo is used in India as an instrument for monetary policy by institutionalizing daily Liquidity Adjustment Facility … (LAF) which allows banks and Primary Dealers to manage their liquidity needs. Liquidity stress in the market has an impact …-bank uncollateralized call market and the call rates are prone to liquidity shocks in the system. The spread between Call and Repo rates is …

(iv) existence of a fear among the market participants about the future liquidity conditions during the last quarter of …

of these effects based on the consideration of credit and liquidity variables. Then, we focus our attention on the …

Estimation of benchmark yield curve in developing markets is often influenced by liquidity concentration. Based on an … affine term structure model, we develop a long run liquidity weighted fitting method to address the trading concentration … from models of liquidity concentration and benchmark security information. After examining time series behavior of price …

Information asymmetry and liquidity concentration has been widely discussed in literatures. This study shows how … liquidity influences not only forecasting performances of term structure estimation, but also information transmission and price …, and provides a rationale for incorporating, liquidity in estimating term structure. Forecasting performance can be greatly …