We present evidence that the funding liquidity aggregates of U.S. financial intermediaries forecast exchange rate … estimate prices of risk using a cross-sectional asset pricing approach and show that U.S. dollar funding liquidity forecasts … liquidity channel in an intertemporal equilibrium pricing model where the “risk appetite” of dollar-funded intermediaries …

a mechanism for discovering dark liquidity. We quantify its role in the price formation process in a model of the … dynamics of price and segmented order flow induced by the protocol. We find that the dark liquidity pool generally contains … liquidity providers to guard against adverse price movements than as a channel to hide private information. …

liquidity shock. Dealers provided liquidity by increasing both their long cash and short forward positions significantly, but … subject to Basel III liquidity regulations increased their positions more than others. The basis narrowed by about $0 … combined liquidity constraints of investors and dealers led to severe price dislocations, and the Fed, in its role as the …

foundation for a funding liquidity channel in a global banking model where exchange rates fluctuate as a function of banks ….S. dollar funding liquidity forecasts exchange rates because of its association with time-varying risk premia. Our empirical …

Banks hold liquid and illiquid assets. An illiquid bank that receives a liquidity shock sells assets to liquid banks in … the market equilibrium is constrained inefficient, with too little liquidity and inefficient hoarding. Our model features … a precautionary as well as a speculative motive for hoarding liquidity, but the inefficiency of liquidity provision can …