We study the transmission of liquidity shocks in a dynamic general equilibrium model where firms and households are … subject to liquidity risk. The provision of liquidity services is undertaken by financial intermediaries that allocate the … stock of liquid asset between the different sectors of the economy. We find that the macroeconomic effects of liquidity …

This research presents evidence for the existence of differences in asset beta risk in the liquidity cross-section of … assets due to correlated trading. It is argued that due to differences in liquidity or cost, most trading activity is …

drying up of liquidity. Financial firms raise short-term debt in order to finance asset purchases. When asset fundamentals … worsen, debt induces firms to risk-shift; this limits their funding liquidity and their ability to roll over debt. Firms may … de-lever by selling assets to better-capitalized firms. Thus the market liquidity of assets depends on the severity of …

drying up of liquidity. Financial firms raise short-term debt in order to finance asset purchases. When asset fundamentals … worsen, debt induces firms to risk-shift; this limits their funding liquidity and their ability to roll over debt. Firms may … de-lever by selling assets to better-capitalized firms. Thus the market liquidity of assets depends on the severity of …

between market liquidity and funding liquidity and formalizes the de-leveraging offinancial institutions observed during …