closely tied to fluctuations in the leverage of market-based financial intermediaries. Offering a window on liquidity, the …

We present evidence that the funding liquidity aggregates of U.S. financial intermediaries forecast exchange rate … estimate prices of risk using a cross-sectional asset pricing approach and show that U.S. dollar funding liquidity forecasts … liquidity channel in an intertemporal equilibrium pricing model where the “risk appetite” of dollar-funded intermediaries …

This paper investigates the managing strategies of a bank's liquidity reserve in the broader context of the role of … asset-liability management according to the liquidity issues of a banking organisation. Several types of liquidity are … presented and how these are interconnected and how they might affect a financial institution's liquidity risk. When managing the …

the innovations in the VIX index. Aggregate liquidity can be seen as the rate of change of the aggregate balance sheet of …

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 …

This study analyzes the emergence of secular stagnation as the consequence of a rise in the preference for liquidity … model where agents derive utility from holding assets of different degrees of liquidity. In this environment, rational …

collection of illiquid markets. It is shown that markets may become disrupted in response to a relatively small liquidity shock … for liquidity …