systematic liquidity risk increased by 34%. We find that the trading of a firm's equity by institutional investors increased the … firms' quoted spreads, and led to a higher liquidity commonality during the crisis. Institutional sell-side herding …

We discuss the notion of liquidity and liquidity risk within the financial system. We distinguish between three … different liquidity types, central bank liquidity, funding and market liquidity and their relevant risks. In order to understand … the workings of financial system liquidity, as well as the role of the central bank, we bring together relevant literature …

confined to project initiation, I find that: (1) when agents expect a liquidity dry-up on such markets, they optimally choose … as it reduces ex-post market participation, which worsens adverse selection and dries up market liquidity; (3) liquidity … idiosyncratic, privately known, illiquidity shocks, I show that: (5) it increases market liquidity; (6) illiquid agents are better …

This paper provides a framework to analyse emergency liquidity assistance of central banks on financial markets in … response to aggregate and idiosyncratic liquidity shocks. The model combines the microeconomic view of liquidity as the ability … to sell assets quickly and at low costs and the macroeconomic view of liquidity as a medium of exchange that influences …

adjustment costs and indivisibility of labor in the employment stickiness of manufacturing firms with less than 75 employees …. When small firms have to adjust employment in units of at least one employee, indivisibility becomes an important source of … stickiness. A structural model of dynamic labor demand with adjustment costs and indivisibility is estimated using indirect …

tranche implied base correlations for the period September 2006 until April 2009. It will be shown that realized asset …

, dispersion in beliefs, and funding liquidity. We argue that stock market illiquidity is a timely variable that is related to … right-to-quality episodes and might contain information about expected future business conditions through funding liquidity …

The subject of our study is market liquidity, which is an important element of the functioning of financial markets …. Adequate liquidity of markets is of great significance from the point of view of both market participants and the central bank …

increases the efficiency of the market (its role in price discovery). Its effect on market liquidity, however, is less clear …-cut. While the loss of anonymity most likely decreases liquidity, transparency on the quantity and price of concluded … transactions enhances liquidity. The emergence of electronic trading on developed government securities markets has not changed the …