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 …

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 …

This paper examines market liquidity in the post-crisis era in light of concerns that regulatory changes might have … considering additional drivers of market liquidity. We document a stagnation of dealer balance sheets after the financial crisis … liquidity. …

Treasury market liquidity is constructed, reflecting the fact that the varying measures capture different aspects of market … liquidity. The liquidity index is then correlated with various metrics of funding liquidity, volatility, and macroeconomic … conditions. The liquidity index points to poor liquidity during the 2007-09 financial crisis and around the near failure of Long …

Treasury market liquidity is constructed, reflecting the fact that the varying measures capture different aspects of market … liquidity. The liquidity index is then correlated with various metrics of funding liquidity, volatility, and macroeconomic … conditions. The liquidity index points to poor liquidity during the 2007-09 financial crisis and around the near failure of Long …

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