attempts to quantify the impact of STT imposition and subsequent revisions on volatility and trading volume during Oct 2003 …-July 2013. Empirical results show a mixed response of volatility and volume to changes in STT. Even though STT has …

discuss the relations between the results obtained and the phenomenon of ”volatility-induced growth” in stationary markets. …

. 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 …

We endogenize the liquidity and the quality of private assets in a tractable incomplete-market model with heterogeneous … agents. The model decomposes the convenience yield of government bond into a "liquidity premium" (flight to liquidity) and a … and bond premiums, the model reveals that a sharp reduction in the quality, instead of the liquidity, of private assets …