rates of return to compensate agents for their relative lack of liquidity. Consistent with empirical findings, our model …

state to compensate agents for their relative lack of liquidity. Second, since the difference in the yield of short and long … liquidity. …

assets are likely to serve as media of exchange or collateral (a definition of liquidity often employed in monetary theory …), or that they can be easily sold in a secondary market, if needed (a definition of liquidity closer to the one adopted in … finance)? We develop a model where these two notions of asset liquidity coexist, and their relative importance is determined …

This paper explores liquidity movements in stock and Treasury bond markets over a period of more than 1800 trading days …. Cross-market dynamics in liquidity are documented by estimating a vector autoregressive model for liquidity (that is, bid … in one market affects the spreads in both markets, and that return volatility is an important driver of liquidity …

more highly correlated; moreover, at these times, money supply positively affects financial market liquidity, albeit with a … lag of two weeks. During normal times, increases in mutual fund flows enhance stock market liquidity and trading volume …, but during financial crises, U.S. government bond funds see higher inflows, resulting in increased bond market liquidity …