dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …

rapidly-growing institutional investment industry. These influences may make bubble riding ‘rational,' or at the very least …

explanations for bubble persistence — such as limits to learning, frictional limits to arbitrage, and behavioral errors — seem … business risk of asset managers acts as strong motivation for institutional herding and ‘rational bubble-riding.' Two key …

are costly and basically characterized by low liquidity issues. Recently, various papers have started to analyze the … impact of liquidity on ILB yields. This paper summarizes studies concerning ILB liquidity at a glance and adds a new … estimation strategy of the liquidity premium based on Campbell & Shiller's (1996) hypothetical ILB yields. We calculate the …

confined to project initiation, I find that: (1) when agents expect a liquidity dry-up on such markets, they optimally choose … as it reduces ex-post market participation, which worsens adverse selection and dries up market liquidity; (3) liquidity … idiosyncratic, privately known, illiquidity shocks, I show that: (5) it increases market liquidity; (6) illiquid agents are better …

We provide new international evidence for a monetary policy liquidity transmission channel in the United States, United … Kingdom, and the Eurozone. The central banks of these countries are, with a different degree, able to soften the economic … channel, we rely on a nonlinear and international economic set-up to distinguish between times of liquidity crisis and non …