market liquidity over time, when dealer balance sheet utilization reaches sufficiently high levels, liquidity is much worse …

We propose a new class of dynamic order book models that allow us to 1) study episodes of extreme low liquidity and 2 …) unite liquidity and volatility in one framework through which their joint dynamics can be examined. Liquidity and volatility … safety as having much lower market depth, along with higher trading volume and greater price uncertainty. -- liquidity …

The issuing policy of the U.S. Treasury allows us to unambiguously isolate maturity-dependent liquidity premia in the … Treasury market. We determine and analyze three term structures of liquidity premia obtained from observed yields of coupon …. Considering liquidity premia between coupon STRIPS and Treasury notes, we surprisingly find that short-term coupon STRIPS are more …

intervention, but normalizing the liquidity of other bonds required the second intervention. Liquidity measures were mostly back to …

the market's liquidity and price efficiency. Employing difference-indifference regressions, we find that the bid …