market liquidity over time, when dealer balance sheet utilization reaches sufficiently high levels, liquidity is much worse …

We propose a new class of dynamic order book models that allow us to 1) study episodes of extreme low liquidity and 2 …) unite liquidity and volatility in one framework through which their joint dynamics can be examined. Liquidity and volatility … safety as having much lower market depth, along with higher trading volume and greater price uncertainty. -- liquidity …

We estimate the option value of municipal liquidity by studying bond market activity and public sector hiring decisions … eligibility population cutoffs introduced by the federal sector's Municipal Liquidity Facility (MLF) to study the effects of an … emergency liquidity option on yields, primary debt issuance, and public sector employment. We find that while the announcement …

responsibilities. In April 2020, the Federal Reserve announced the establishment of the Municipal Liquidity Facility (MLF) to help …

liquidity risk. In addition to documenting the existence of large and time-varying liquidity premia in nominal and real bond …

the market's liquidity and price efficiency. Employing difference-indifference regressions, we find that the bid …

Treasury market liquidity is constructed, reflecting the fact that the varying measures capture different aspects of market … liquidity. The liquidity index is then correlated with various metrics of funding liquidity, volatility, and macroeconomic … conditions. The liquidity index points to poor liquidity during the 2007-09 financial crisis and around the near failure of Long …

We model a safe asset market with investors valuing safety, investors valuing liquidity, and constrained dealers. While … safety investors and liquidity investors can interact symbiotically with offsetting trades in times of stress, we show that … liquidity investors' strategic interaction harbors the potential for selffulfilling fragility. Surprisingly, standard flight to …