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 …

traders decrease more than those of small traders. Using a structural estimation, the model is able to identify liquidity …

rates of return to compensate agents for their relative lack of liquidity. Consistent with empirical findings, our model …

state to compensate agents for their relative lack of liquidity. Second, since the difference in the yield of short and long … liquidity. …