This paper develops a reduced form three-factor model which includes a liquidity proxy of market conditions which is … liquidity in the valuation process. Moreover, market liquidity, a measure of investors' willingness to commit resources in the … failure to include a liquidity proxy could underestimate the implied autonomous credit risk. Autonomous credit risk is defined …

This paper develops a reduced form three-factor model which includes a liquidity proxy of market conditions which is … liquidity in the valuation process. Moreover, market liquidity, a measure of investors. willingness to commit resources in the … failure to include a liquidity proxy could underestimate the implied autonomous credit risk. Autonomous credit risk is defined …

provision. Consistent with a causal effect of a negative shock to bank credit, we find that firms with high precrisis liquidity …Using a supplier–client matched sample, we study the effect of the 2007–2008 financial crisis on between-firm liquidity … consistent with firms providing liquidity insurance to their clients when bank credit is scarce and offer an important …

This article shows that the "risk premium" shock in Smets and Wouters (2007) can be interpreted as a structural shock …

and long term; market (coordination) failure triggers a liquidity run and inefficient default; and the IMF lends … unconditionally under a preferred creditor status. The model shows that IMF financial support can help prevent a liquidity crisis …

. The tendency to underprice systemic liquidity risk and currency-induced credit risk creates vulnerabilities that need … liquidity and solvency risks. The paper also shows that most dollarized countries have addressed their liquidity vulnerabilities …

. This study finds systematic variations in liquidity in different segments of the Nordic electricity swap market and … analyzes the potential for replacing low-liquidity, delivery-period-matched hedging instruments with more liquid, delivery …