well as, regulatory implications for a Lender of Last Resort in various liquidity scenarios …

theoretical results with parameter magnitudes and sensitivities. Examination of three market liquidity scenarios provides … intuition for effective liquidity injection by a Lender of Last Resort …

We study the role of various trader types in providing liquidity in spot and futures markets based on data from the … overnight are the primary liquidity providers in both spot and futures markets. We have two crashes in our sample, both … in both markets. Market stability may require the presence of well-capitalized standby liquidity providers for recovery …

-in-the-market pricing and a no-arbitrage condition. We find that (i) a higher crisis probability increases the liquidity premium and thus …

correlation, liquidity correlation, and portfolio rebalancing. A behavioral dimension in the crisis propagation is also examined … that this is driven by behavioral and liquidity mechanisms. The correlated information and portfolio rebalancing hypotheses …

We test the effects of uncertainty on market liquidity using Hurricane Sandy as a natural experiment. Given the …. We nd relatively less trading and wider bid-ask spreads in affected REITs. The results confirm theory on the detrimental …

contractual links. The first is the market price channel, in which scarce funding liquidity and low market liquidity reinforce … case of illiquidity spirals, firms do not internalise the negative externality of holding low levels of funding liquidity … contagion - namely macroprudential liquidity regulation; restrictions on margins and haircuts; and information disclosure. …