We analyze multivariate binary time series using a mixed parameterization in terms of the conditional expectations given the past and the pairwise canonical interactions among contemporaneous variables. This allows consistent inference on the influence of past variables even if the...

Theoretical studies show that shocks to funding constraints should affect and be affected by market illiquidity. However, little is known about the empirical magnitude of such responses because of the intrinsic endogeneity of illiquidity shocks. This paper adopts an identification technique...