"We study the dynamics of liquidity provision by dealers during an asset market crash, described as a temporary negative shock to investors' aggregate asset demand. We consider a class of dynamic market settings where dealers can trade continuously with each other, while trading between dealers...

We use minute-by-minute daily transaction-level payments data to document the crosssectional and time-series behavior of the estimated prices and quantities negotiated by commercial banks in the fed funds market. We study the frequency and volume of trade, the size distribution of loans, the...

We develop a model of the market for federal funds that explicitly accounts for its two distinctive features: banks have to search for a suitable counterparty, and once they have met, both parties negotiate the size of the loan and the repayment. The theory is used to answer a number of positive...