monitor markets continuously. We study how limit order markets absorb transient liquidity shocks, which occur when a …

Extreme market outcomes are often followed by a lack of liquidity and a lack of trade. This market collapse seems …-returns distribution. To explore the connection of uncertainty with liquidity, we specify a simple market where a monopolist financial … increase the bid-ask spread and, hence, reduces liquidity. In addition, 'hedge portfolios'' for the market-maker, an important …

central banks in the absence of any formal arrangements among their governments to limit exchange rate volatility. The … advocates of the proposals for change have made their assessment of the global costs of exchange rate volatility and (their …

Estimating the liquidity differential between inflation-indexed and nominal bond yields, we separately test for time …-varying real rate risk premia, inflation risk premia, and liquidity premia in U.S. and U.K. bond markets. We find strong, model … to quantitatively similar degrees. The estimated liquidity premium between U.S. inflation-indexed and nominal yields is …

important innovation is that we include the liquidity yield on government bonds as an explanatory variable. We find impressive … evidence that changes in the liquidity yield are significant in explaining exchange rate changes for all of the G10 countries …. Moreover, after controlling for liquidity yields, traditional determinants of exchange rates – adjustment toward purchasing …

national best bid and offer. Enhanced order flow to dark venues reduces price competition by exchange liquidity providers …, especially those using high frequency trading (HFT). Trading in dark venues due to a wider MPV reduces volatility and increases …

The paper studies the effect of the market's perceived exchange rate volatility on bid-ask spreads. The anticipated … volatility is extracted from currency options data. An increase in the perceived volatility is found to widen bid-ask spreads … estimate of the effect of the volatility on the spreads. Although the spread-volatility relation implied by the option model of …