" and its related liquidity premium. Moreover, large losses erasedthe capital used to fund margin requirements and forced … measures of \bond value uncertainty", whichproxy for the increase in \haircuts" and to the \OIS-Tbill" spread, a proxy for the\ight-to-liquidity …

face uncertain liquidity needs. The ambiguitythe consumers experience is modeled by the degree of condence in their … additive beliefs. Weanalyze the optimal liquidity allocation and two institutional settings for implementing thisallocation: a … liquidity needs. With increasing ambiguity this preference will be reversed:the asset market is preferred, since it avoids …

uences expected returns and volatility forecasts of individual investors. Via e-mail, we asked a randomly selected group of …

autoregressive processes revealing time-varying stochastic volatility. The factor volatilities capture risk inherent to the term … additional determinants of future excess returns. Finally, we illustrate that the yield and volatility factors are closely …

bargaining power, when the fraction of qualified owners is smaller, or when risk aversion, volatility, or hedging demand are …