. In this paper, we extend the literature on risk allocation games by incorporating liquidity considerations. A liquidity … policy specifies state-dependent liquidity requirements that a portfolio should obey. To comply with the liquidity policy, a … liquidity constraints is not straight- forward, since the presence of a liquidity policy leads to externalities. We argue that …

This paper studies the optimal maturity structure for government debt when markets for liquidity insurance are … in short and long maturities solves a liquidity insurance problem, but optimal yield curve policy is only possible if …