This paper explores the relationship between market liquidity and market return around scheduled Federal Open Market … Committee (FOMC) meetings. We document that market liquidity on the day prior to the announcement contains useful information to … predict the post-FOMC announcement return, which is positive (negative), on average, when liquidity is low (high). Our …

Assets have "indirect liquidity" if they cannot be used as media of exchange, but can be traded to obtain a medium of … liquidity, provides closed form solutions for real and nominal assets, and discusses properties of the solutions. Some of these …

portfolios, but liquidity comes at a cost: inflation. The OTC market serves as a secondary asset market, in which agents can … rebalance their positions depending on their liquidity needs. Hence, a contribution of our paper is to provide a micro … value because they help agents avoid the inflation tax. -- monetary-search models ; liquidity ; asset prices ; over …

simple exchange economy with three types of agents: regular stockholders, arbitrageurs and liquidity providers. Regular … increased stock volatility created by arbitrageurs with access to credit lines. Arbitrageurs and liquidity providers are at … least as well off. Optimal liquidity is found to be consistent with the existence of bubbles in stock and bond markets under …

recognizable determines the extent to which they are acceptable in exchange - i.e., their liquidity. We analyze the effects of … monetary policy on asset markets. Recognizability and liquidity are endogenized by allowing agents to invest in information …

whether liquidity conditions play an important role in stock market developments. As an innovation, liquidity conditions enter … flows, which represent the share of global liquidity that arrives in the respective country. A second aim is to understand …