We study how the risks to future liquidity flow across corporate bond, Treasury, and stock markets. We document … distribution “flight-to-safety” effects: a deterioration in the liquidity of high-yield corporate bonds forecasts an increase in … the average liquidity of Treasury securities and a decrease in uncertainty about the liquidity of investment …

We provide new international evidence for a monetary policy liquidity transmission channel in the United States, United … downward spiral after an unexpected arrival of a financial market illiquidity shock. In order to uncover this transmission … channel, we rely on a nonlinear and international economic set-up to distinguish between times of liquidity crisis and non …