We explore the network topology of the federal funds market. This market is important for distributing liquidity throughout the financial system and for the implementation of monetary policy. The recent turmoil in global financial markets underscores its importance. We find that the network is...

Wie bedeutend ist das menschliche Element für die Genauigkeit empirischer Erkenntnisse in den Wirtschaftswissenschaften? Die Unsicherheit empirischer Schätzungen wird üblicherweise als ein statistisches Phänomen betrachtet. Unbekannte Parameter einer Grundgesamtheit werden anhand einer...

This papers studies the CDS-bond basis, i.e. a measure of price discrepanciesbetween CDS and bonds spreads, for a sample of investment-graded US rms. Resultsshow that during the 2007/09 nancial crisis the basis was time varying and negativelycorrelated to: the \Libor-OIS" spread, a proxy for the...

We study the impact of ambiguity on two alternative institutions of nancial intermediationin an economy where consumers face uncertain liquidity needs. The ambiguitythe consumers experience is modeled by the degree of condence in their additive beliefs. Weanalyze the optimal liquidity allocation...

We explore the network topology of the federal funds market. This market is important for distributing liquidity throughout the financial system and for the implementation of monetary policy. The recent turmoil in global financial markets underscores its importance. We find that the network is...

I model a financial market that dries out in the wake of premature liquidations. Two main results are obtained. First, liquidity may vanish even if small, riskneutral buyers could easily compensate the ongoing selling. Thus, more markets are vulnerable to quot;runsquot; than suggested by...

The liquidity of an asset in modern financial markets is a key and, yet, elusive concept. A market is often said to be liquid when the prevailing structure of transactions provides a prompt and secure link between the demand and supply of assets, thus delivering low costs of transaction....

This article shows that the "risk premium" shock in Smets and Wouters (2007) can be interpreted as a structural shock to the demand for safe and liquid assets such as short-term US Treasury securities. Several implications of this interpretation are discussed.

Why do some markets remain illiquid even when there is a positive gain from trade? In order to understand the real determinants of market liquidity in decentralized markets, we are going to analyze this question in a competitive market setting when both search frictions and adverse selection...

Since private equity investments are not publicly traded, a key issue in measuring investment risks of institutional private equity investors arises from a careful measurement of investment returns in the first place. Prices of private equity investments are typically observed at low frequency...