triggers, such as capital ratios of banks, are reached. These have the potential of providing an automatic source of liquidity … without having to go through bankruptcy or getting bailouts' money. We present a model of liquidity with two types of … the other produces liquidity via an elastic supply of funds but with much less information. The model generates a critical …

find significant changes in the composition of liquidity providers: hedge funds buy a large share of the issue outside pre …-MPC windows, but they shy away from liquidity provision in pre-MPC windows, being replaced by less speculative investors such as … liquidity providers before high-informational events, which can also explain the price drift observed in the data …

We introduce external risks, in the form of shocks to the level and volatility of world interest rates, into a small … interest rates and a persistent rise in their volatility. We solve for the optimal policy and argue that the size of a tax on …. We show quantitatively that these taxes respond to both the level and volatility of interest rates even though optimal …

volatility via volatilities of the value and the volume and the number of trades during interval Δ. We introduce notions of the … value and the volume returns and describe price returns volatility through volatilities of the volume and the value returns … market transactions. Adequate model of volatility requires macroeconomic theory that describes second-degree value and volume …

Target volatility options (TVO) are a new class of derivatives whose payoff depends on some measure of volatility … volatility. For instance, a target volatility call can be viewed as a European call whose notional amount depends on the ratio of … the target volatility (a fixed quantity representing the investor's expectation of the future realized volatility) and the …

liquid instrument suffers from liquidity shocks that induce periods of increased volatility and significant return … their historical limits, counterparties for trades become scarce and prices must adjust to induce trade. These liquidity …