-agents model with two main ingredients: i) rare disasters; ii) heterogeneous beliefs. The model captures time-varying risk premia …

tightening. Besides, small banks are found to suffer more as their credit risk and liquidity risk increase. We show that lending … relationships benefit banks in hedging liquidity risk. We also document that central bank liquidity increments are associated with a … demand for liquidity in the interbank market as wells as banks' access to this market. Results indicate that riskier banks …

transactions between firms and by theories that focus on the advantages of liquidity provision along the supply chain. We use the … more constrained relative to their investment needs, do not provide additional liquidity to their suppliers, and increase … acquisition activities once the liquidity crunch dissipates. These firms’ accounts payable increase proportional to their raw …

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 …

, flight-to-safety or liquidity premiums? Using data on German nominal bonds between 2005 and 2015, we study the differential … pricing and liquidity of short and long maturity bonds. We find statistically significant, but economically negligible … segmentation in yields and some degree of liquidity segmentation of short-term versus long-term bonds. These results have important …

The variance risk premium represents the compensation paid to index option sellers for the risk of losses following … produce a sizable and volatile variance risk premium. These shocks coincide with major events such as the LTCM/Russian crisis … risk premium, generating short-term predictability for market excess returns, consistent with the data. In addition, the …

liquidity risk. In addition to documenting the existence of large and time-varying liquidity premia in nominal and real bond …To study inflation expectations and associated risk premia in emerging bond markets, this paper provides estimates for … anchored close to the inflation target of the Bank of Mexico. Furthermore, Mexican inflation risk premia are larger and more …