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 develop an empirical framework that links micro-liquidity, macro-liquidity and stock prices. We provide evidence of … a strong link between macro-liquidity shocks and the returns of UK stock portfolios constructed on the basis of micro-liquidity … measures between 1999-2012. Specifically, macro-liquidity shocks, which are extracted on the meeting days of the Bank of …

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 …

This paper provides a framework to analyse emergency liquidity assistance of central banks on financial markets in … response to aggregate and idiosyncratic liquidity shocks. The model combines the microeconomic view of liquidity as the ability … to sell assets quickly and at low costs and the macroeconomic view of liquidity as a medium of exchange that influences …