Financial assets provide return and liquidity services to their holders. However, during severe financial crises many … asset prices plummet, destroying their liquidity provision function at the worst possible time. In this paper we present a … not control or understand. The liquidity of the market quickly vanishes and a financial crisis ensues. The model exhibits …

emerging economy, and those affecting borrowing from foreign lenders. This 'dual liquidity' model offers a parsimonious …

play a key role in benefiting from the spillovers of these policies during risk-off episodes. Countries like Japan, which … already had very low long rates, benefited less. However, Japan still benefitted from the reduced persistence of risk …