. Tractability of the model allows us to derive natural proxies for important measures of market liquidity such as trade volume … alleviation of search frictions in one market may lead to opposite observations regarding liquidity in other markets depending on … which liquidity measure is used. For example, a reduction of search frictions in one market decreases trade volume in other …

downside liquidity for corporate bonds. While the evidence of illiquidity on risk premium in the cross-section of corporate … bonds is mixed, the aggregate liquidity asymmetry has a high explanatory power for the time series of market returns. It is … statistically and economically more significant than the innovation in traditional roundtrip liquidity costs. Some evidence suggests …

We study the exposure of the U.S. corporate bond returns to liquidity shocks of stocks and treasury bonds over the … period 1973-2007 in a regime switching model. In one regime, liquidity shocks have mostly insignificant effect on bond prices … default), suggest the existence of time-varying liquidity risk of corporate bond returns conditional on episodes of flight to …

I propose a friction measure of bond round-trip liquidity costs that is robust to outliers and accounts for the … liquidity costs display a strong correlation with credit conditions and peaked during the subprime crisis. After controlling for … equity volatility with high-frequency measures, liquidity costs explain a substantial fraction of the variation in the yield …

This paper examines market liquidity in the post-crisis era in light of concerns that regulatory changes might have … considering additional drivers of market liquidity. We document a stagnation of dealer balance sheets after the financial crisis … liquidity. …

Since 2008, excess liquidity – defined as the sum of holdings of central bank reserves in excess of reserve … small, slowly changing group of credit institutions.Despite the stability of the concentration of excess liquidity in … directing flows in the period 2015-16. In addition, the more recent concentration of excess liquidity is explained by the …

Since 2008, excess liquidity - defined as the sum of holdings of central bank reserves in excess of reserve … small, slowly changing group of credit institutions. Despite the stability of the concentration of excess liquidity in … directing flows in the period 2015-16. In addition, the more recent concentration of excess liquidity is explained by the …