-market liquidity …

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 …

when countries cooperate in the face of a "global liquidity trap" - i.e., a situation where the two countries are … simultaneously caught in liquidity traps. Compared to the closed economy case, a notable feature of the optimal policy in the face of … a global liquidity trap is its international dependence. Whether or not a country's nominal interest rate is hitting the …

. Such a funding-liquidity crisis gives rise to "bases," that is, price gaps between securities with identical cash-flows but … central banks' lending facilities …

decline in the supply of credit by banks (lending channel). We find that during twin crises, domestic exporters holding un … decline in bank credit from affected banks however, foreign-owned firms substituted the lost credit …

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 …

We study the exposure of the US corporate bond returns to liquidity shocks of stocks and Treasury bonds over the period … 1973 - 2007 in a regime - switching model. In one regime, liquidity shocks have mostly insignificant effects on bond prices … default), suggest the existence of time-varying liquidity risk of corporate bond returns conditional on episodes of flight to …