credit spreads during 2002-2012: a liquidity regime and a default regime. Both regimes contribute to the patterns observed in … credit spreads. The liquidity regime seems to explain the predictive power of credit risk on the 2007-2009 NBER recession …

This paper examines how liquidity in two actively traded futures markets was affected by the recent financial crisis … withdrawal of liquidity from Eurodollar futures markets, yet a far more muted response in the S&P 500 index futures contract. A … deeper investigation into high-frequency trading strategies finds that prior to the crisis, liquidity additions and …

lower market and funding liquidity and higher investors' risk-aversion are important drivers of the increase in the spread …This paper examines the effects of liquidity during the 2007-09 crisis, focussing on the senior tranche of the CDX …-capital, and liquidity preference exhibited by investors. Using cointegration analysis, the paper shows that during the crisis …

correlate positively to calendar spread liquidity and constraints on intermediation capital. The strategy delivers low … risk. This rebalancing creates predictable demand for liquidity. We also apply the strategy to a group of commodities not …

significant changes in U.S. money market liquidity. We develop a model in which U.S. money market spreads respond to foreign … central banks’ exchange-rate management decisions. Foreign central banks remove liquidity from U.S. money markets and cause … spreads to widen by selling Treasuries to supply liquidity to their financial systems. Our analysis focuses on the major oil …

banks to have private information about the risk of their assets. We show how banks’ asset risk affects funding liquidity in … state with adverse selection and elevated rates; and iii) market breakdown with liquidity hoarding. We provide an … of unsecured rates and excess reserves banks hold, as well as the inability of massive liquidity injections by central …