assets are likely to serve as media of exchange or collateral (a definition of liquidity often employed in monetary theory …), or that they can be easily sold in a secondary market, if needed (a definition of liquidity closer to the one adopted in … finance)? We develop a model where these two notions of asset liquidity coexist, and their relative importance is determined …

prices and standard measures of financial liquidity, such as bid-ask spreads, trade volume, and the incentives of dealers to … monetary policy as well as the microstructure of the market where it is traded. These liquidity considerations imply a positive … anomalous. The theory also exhibits rational expectations equilibria with recurring belief driven events that resemble liquidity …

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 …

In the literature, there is no consensus on a common approach to measure bond liquidity. This paper is the first to … comprehensively compare all commonly employed liquidity measures based on intraday and daily data for the U.S. corporate bond market …

. I focus on environments in which an asset owner has private information about both her liquidity state and asset quality …, and so a buyer is uncertain about the owner's true motive for selling—whether it is because of a liquidity need or because …

The global financial crisis in 2007 prompted policy makers to introduce a combination of bank regulation and … economies where financial frictions are important. Although there is an extensive literature on financial regulation and … independently. The results point to the importance of coordination between financial regulation and monetary policy in minimizing …

This paper documents the pricing of liquidity and identifies its drivers in the four main segments of the interbank and … exchange credit bond markets in China. First, we find that liquidity effects are priced in credit bond yield spreads, and … differ significantly across these four segments. Second, we identify several channels through which liquidity may affect the …