and speculators appears to be a channel through which the monetary policy shocks are propagated to commodity price changes. …

supplying liquidity to asynchronously arriving investors. Empirically, twelve years of daily New York Stock Exchange …

In this paper we survey the theoretical and empirical literatures on market liquidity. We organize both literatures …

extensions raise opportunities for more transactions and liquidity in foreign exchange markets, they may also lead to higher … increased volatility mostly at the opening is that the trading hours extension attracts informed traders rather than liquidity …

This paper considers the dynamics of spot and futures prices in the presence of arbitrage. A partially linear error …

Using a vector error correction model I test whether shocks in the funding liquidity conditions in the U.S. and Europe … agents is considered. (2) A stable long-run equilibrium relation emerges when I include the effects of funding liquidity … by shocks stemming from the U.S. Treasury Bills, the funding liquidity in the U.S. and Europe, and the Mexican CETEs. …

basis size is closely related to measures of company-specific credit risk and liquidity, and to market conditions. In … risk, liquidity, and market measures even more strongly than the basis itself, and we show which conditions make long and …

This paper examines how liquidity in two actively traded futures markets was affected by the recent financial crisis … withdrawal of liquidity from Eurodollar futures markets, yet a far more muted response in the S&P 500 index futures contract. A … deeper investigation into high-frequency trading strategies finds that prior to the crisis, liquidity additions and …