We propose a broad measure of liquidity for the overall financial market by exploiting its connection with the amount … more "noise.'' As such, noise in the Treasury market can be informative and we expect this information about liquidity to … -- high liquidity and low credit risk. Indeed, we find that our "noise'' measure captures episodes of liquidity crises of …

over faster than domestic assets because the former have desirable liquidity properties, but represent inferior saving …

We examine how liquidity and asset prices are affected by the following market imperfections: asymmetric information …

This paper presents an equilibrium model for the demand and supply of liquidity and its impact on asset prices and … liquidity and large price deviations from fundamentals. Moreover, market forces fail to lead to efficient supply of liquidity … efficiency consequences. For example, lowering the cost of supplying liquidity on the spot (e.g., through direct injection of …