and speculators appears to be a channel through which the monetary policy shocks are propagated to commodity price changes. …

This paper offers a new framework for the assessment of financial market liquidity and identifies two types: search … liquidity and systemic liquidity. Search liquidity, i.e. liquidity in “normal” times, is driven by search costs required for a … trader to find a willing buyer for an asset he/she is trying to sell or vice versa. Search liquidity is asset specific …

rate cuts, to ease the liquidity crunch in the financial markets following the collapse of Lehman Brothers. Using high … the 2008 global financial turmoil, this study examines the variations of intraday funding liquidity across the global … undertaken by central banks affect the dynamics of market liquidity conditions. Similar to Hui et al. (2009), the paper uses the …

In times of financial distress, central banks provide unlimited liquidity to avoid fire sales. In response, banks raise … investigate how unlimited liquidity provision affects collateral prices. Also, I match banks' trades with their balance sheet and … show how funding liquidity impacts premia payment. I quantify the Fire Buy premium to be 15.6 bps; and the Risk …

Arbitrage ensures that covered interest parity holds. The condition is central to price foreign exchange forwards and … interbank lending rates, and reflects the efficient functioning of markets. Normally, deviations from arbitrage, if any, last … seconds and reach a few basis points. After the Lehman bankruptcy, instead, arbitrage profits were large, persisted for months …

: the deterioration of bond market liquidity, the increased bond specialness on the repurchase agreement market, and the …

: the deterioration of bond market liquidity, the increased bond specialness on the repurchase agreement market, and the …