overshooting and a reduced liquidation value for the distressed trader. Hence, the market is illiquid when liquidity is most needed …

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

market liquidity to vary from `normal' periods, when all assets are fully liquid, to 'illiquidity crises,' when some assets … can only be traded infrequently. The possibility of a liquidity crisis leads to limited arbitrage in normal times …

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

This paper studies a model where money is valued for the liquidity services it provides in the future. These liquidity … services cannot be provided by any other asset. Changes in expectations of the value of future liquidity services affect the …. Furthermore, shifts between money and other assets that are driven by precautionary liquidity demand make nominal interest rates …

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 …