structure model of inflation and interest rates. Our empirical results indicate that TIPS yields contained a "liquidity premium … framework, suggesting that TIPS may not have been priced efficiently in its early years. Besides the liquidity premium, a time …

verbundene Kreditrisiko induziert ist, zeigen neuere empirische Untersuchungen,dass neben Kreditrisiken noch weitere Faktoren die …

This paper develops a liquidity measure tailored to the foreign exchange (FX) market, quanties the amount of … commonality in liquidity across dierent exchange rates, and determines theextent of liquidity risk premiums embedded in FX returns …. The new liquidity measure utilizesultra high frequency data and captures cross-sectional and temporal variation in FX …

determinedby different investor clienteles with different liquidity needs.[...] …

should market liquidity dry up. In a first step, this paper explains whyhigh quality firms introduce a maturity mismatch into …

perspective of global liquidity. The CRT market is enormouslygrowing and exhibits major structural shifts in terms of buyers and … sellers ofprotection. I try to address these issues from an options perspective by suggestingthat liquidity providing can be … se, as oftenclaimed, which causes liquidity related systemic risk, but rather the potential coordinationfailures of the …