This paper investigate whether the effects of U.S. news announcements has influence on liquidity commonality during … financial crisis periods. We construct a market-wide liquidity risk in the foreign exchange market by using Generalized Dynamic … Factor Model (GDFM) model. We show that strong commonality in liquidity are associated with major crisis events. Our analysis …

This research studies the effects of macroeconomic factors on liquidity, focusing on the pricing of liquidity. By … applying cross-sectional tests, we obtain the monthly price of liquidity. Overall, the results show that the growth rate in … industrial production has significant contemporaneous effects on the price of liquidity. Interestingly, macroeconomic factors …