We differentiate the liquidity and the quality of private assets in a tractable incomplete-market model with … heterogeneous agents. The model decomposes the convenience yield of government bonds into a "liquidity premium" (flight to liquidity … fluctuations and bond premiums, the model reveals that a sharp reduction in the quality, instead of the liquidity, of private …

including the stock market macro liquidity deviation factor. We use a probit framework to predict US business cycles, as defined … by the NBER between 1959Q1 and 2011Q4. We find that combining the yield curve parameter with the stock market liquidity … monitoring not only the yield curve but also stock market depth and liquidity, and their deviation from one another …

deepness' and 'macro liquidity' can indicate development of abnormalities in the financial markets which generally ends up with … instabilities in the real economy. First, the balance between the market deepness and market liquidity is identified using a … liquidity deviations' (MLD) from the 'usual' relationships between the variables. We find that the current and second lag of MLD …