In over-the-counter markets, the presence of two frictions is central to determine prices, liquidity, and efficiency … specifications of delay, the set of traded assets and the dependence of asset prices and spreads on default risk, liquidity, and … offers a novel testable prediction: for assets within the same credit rating class, the liquidity is U-shaped in quality …

buyers through partial retention of assets if and only if their liquidity holdings are large. However, when sellers … their liquidity holdings are small. The model is extended to study the implications for discount window lending and …

to the Macroeconomics Dynamics special issues on money, credit and liquidity …

We study economies with multiple assets that are valued both for their return and liquidity. Exchange occurs in …, potentially generating multiple equilibria with different liquidity. We discuss implications for asset pricing and for monetary …