. 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 …

find that inflation/interest rate, uncertainty and liquidity factors are the main drivers of the long-run co-dependence. We …