incorporate credit and liquidity risks. Indeed, a bank that lends on the unsecured market requires compensations for facing (a … us to decompose the whole term structure of spreads into credit and liquidity components. Our no-arbitrage econometric … recent easing in the euro interbank market comes from a decrease in liquidity-related risk premia …

liquidity risk characteristics. The analysis also illustrates the impact of the introduction of the euro on systemic illiquidity …

liquidity risk characteristics. The analysis also illustrates the impact of the introduction of the euro on systemic illiquidity …

higher cost, while avoiding accumulating substantial cash assets. Because the liquidity premium for large-denomination bonds …

against liquidity shocks, which temporarily shut out the economy of short-term credit markets. Due to the presence of a …

This paper introduces agent heterogeneity, liquidity, and endogenous default to a DSGE framework. Our model allows for … the economy. Due to liquidity and endogenous default, the transmission mechanism of shocks is well defined, and their …

the international allocation of economic activity. Private assets’ liquidity properties - their usefulness as collateral … entry, production, aggregate productivity, and total market capitalization. In a closed economy, the liquidity market …, cross-country differences in financial development|as measured by the degree of liquidity of a country’s assets - generate …