Treasury and TIPS yields, in combination with a liquidity factor, generates negligibly small pricing errors for both real and …

Treasury and TIPS yields, in combination with a liquidity factor, generates negligibly small pricing errors for both real and …

a liquidity factor generates negligibly small pricing errors for both real and nominal yields. Model-implied expected … inflation adjusted for risk premia and liquidity provides a better prediction of actual inflation than unadjusted breakeven …

). Aggregate liquidity can be seen as the rate of change of the aggregate balance sheet of the financial intermediaries …. -- Financial market liquidity ; financial cycles ; financial intermediary leverage …

). Aggregate liquidity can be seen as the rate of change of the aggregate balance sheet of the financial intermediaries …

We provide an overview of the rapidly evolving literature on shadow credit intermediation. The shadow banking system … consists of a web of specialized financial institutions that conduct credit, maturity, and liquidity transformation without … direct, explicit access to public backstops. The lack of such access to sources of government liquidity and credit backstops …

This paper examines market liquidity in the post-crisis era, in light of concerns that regulatory changes might have … considering plausible alternative drivers of market liquidity. Using both high- and low-frequency data on U.S. Treasury securities … and corporate bonds, we then investigate empirically whether liquidity has in fact deteriorated, and we review market …