Price-based liquidity metrics are better in 2013-2014 for small trades and large high-yield bond trades, but not for … relative to 2010-2012. This evidence contrasts with the widely-held view among practitioners that liquidity has worsened …-crisis liquidity could be low when markets are stressed. We consider three stress events: extreme VIX increases, extreme bond yield …

We employ a proprietary transaction-level dataset in Germany to examine how capital requirements affect the liquidity … gap - aggregate liquidity declines. Our results are stronger for banks with a higher capital shortfall, for noninvestment …

We differentiate the liquidity and the quality of private assets in a tractable incomplete-market model with … heterogeneous agents. The model decomposes the convenience yield of government bonds into a "liquidity premium" (flight to liquidity … fluctuations and bond premiums, the model reveals that a sharp reduction in the quality, instead of the liquidity, of private …

more credit, suggesting that overall credit risk increases. At the same time, we find that total balance sheet liquidity … increases. We identify the channel in a theoretical model and provide empirical evidence: Banks with low initial liquidity and …

liquidity and solvency shocks. Extending the work by Cao & Illing (2009a, b), it is shown that systemic liquidity shortage … extra cost for banking regulation and makes some schemes that are optimal under pure illiquidity risks (such as liquidity …