Market liquidity is modeled as being determined by the demand and supply of immediacy. Exogenous liquidity events … liquidity in the market. The lower is the autocorrelation in rates of return, the higher is the equilibrium level of liquidity …

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

after a once and for all increase in liquidity. The gradual propagation mechanism produced by our model is novel in the … literature. We provide an analytical characterization of this mechanism, showing that the magnitude of the liquidity effect on …

The paper presents a model of a monetary economy where there are differences in liquidity across assets. Money … on assets, reflecting their differences in liquidity. The model is used, first, to investigate how aggregate activity and … asset prices fluctuate with shocks to productivity and liquidity; second, to examine what role government policy might have …

anomalous. The theory also exhibits rational expectations equilibria with recurring belief driven events that resemble liquidity … prices and standard measures of financial liquidity, such as bid-ask spreads, trade volume, and the incentives of dealers to …. The theory predicts that asset prices carry a speculative premium that reflects the asset's marketability and depends on …

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

I describe two amplifications mechanisms that operate during liquidity crises and discuss the scope for central bank … disengage from markets and increase their demand for liquidity. This behavior leads to a loss of liquidity and a crisis …

allows banks in different regions to smooth local liquidity shocks by borrowing and lending on a world interbank market. We … show under which conditions financial integration induces banks to reduce their liquidity holdings and to shift their … portfolios towards more profitable but less liquid investments. Integration helps reallocate liquidity when different banks are …

This paper proposes a theory of liquidity dynamics. Illiquidity results from asymmetric information. Observing the … perpetuates illiquidity. Liquidity falls in response to unexpected events that lead agents to question their valuation models …

a drop in liquidity. It may also lead to a decline in the price-dividend ratio--a fire sale--and a flight to quality …