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Trading liquidity and funding liquidityin fixed income markets: implications of market microstructure invariance

Kyle, Albert S.; Obižaeva, Anna - 2020

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Dynamic asset-backed security design

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Market liquidity in the financial crisis : the role of liquidity commonality and flight-to-quality

Rösch, Christoph G.; Kaserer, Christoph - In: Journal of banking & finance 37 (2013) 7, pp. 2284-2302

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The LIX : a model-independent liquidity index

Guillaume, Florence - In: Journal of banking & finance 58 (2015), pp. 214-231

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Reprint of: Market liquidity in the financial crisis : the role of liquidity commonality and flight-to-quality

Rösch, Chistoph G.; Kaserer, Christoph - In: Journal of banking & finance 45 (2014), pp. 152-170

Persistent link: https://www.econbiz.de/10010466608

Flighty Liquidity

Boyarchenko, Nina - 2019

We study how the risks to future liquidity flow across corporate bond, Treasury, and stock markets. We document … distribution “flight-to-safety” effects: a deterioration in the liquidity of high-yield corporate bonds forecasts an increase in … the average liquidity of Treasury securities and a decrease in uncertainty about the liquidity of investment …

Persistent link: https://www.econbiz.de/10012897700

What drives the liquidity of cryptocurrencies? : a long-term analysis

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Liquidating Illiquid Collateral

Oehmke, Martin - 2015

Defaults of financial institutions can cause large, disorderly liquidations of repo collateral. This paper analyzes the dynamics of such liquidations. The model shows that (i) the equilibrium price of the collateral asset can overshoot; (ii) the creditor structure in repo lending involves a...

Persistent link: https://www.econbiz.de/10013036180

Market microstructure, banks' behaviour and interbank spreads : evidence after the crisis

Kapar, Burcu; Iori, Giulia; Gabbi, Giampaolo; Germano, Guido - In: Journal of economic interaction and coordination 15 (2020) 1, pp. 283-331

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Liquidity

Christa Bouwman, Christa H. S. - In: The Oxford handbook of banking. 2015

Persistent link: https://www.econbiz.de/10013476439

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