downside liquidity for corporate bonds. While the evidence of illiquidity on risk premium in the cross-section of corporate … bonds is mixed, the aggregate liquidity asymmetry has a high explanatory power for the time series of market returns. It is … statistically and economically more significant than the innovation in traditional roundtrip liquidity costs. Some evidence suggests …

Until recently the liquidity of financial assets has typically been viewed as a second-order consideration. Liquidity … shocks could be easily diversified away. Yet the evidence- especially the recent liquidity crisis- suggests that liquidity is … now a primary concern. This paper aims at disentangling market risk and liquidity risk in the context of conditional …

-size U.S. banks, shed new light on the role of liquidity in business cycle dynamics. In the normal path of the business cycle …, liquidity and output mutually interact. Small shocks generally lead to mean reversion through market forces, as a low degree of … liquidity dissipation does not significantly disrupt the economic dynamics. However, larger shocks and greater liquidity …