widening bid-ask spreads, thereby reducing market liquidity. We argue that adding more market participants, including … the market significantly increased liquidity by enacting liquidity-provision policies to attract more participants as it …

We study the relationship between funding liquidity and the valuation of mortgage-backed securities. Most of the … funding liquidity spread is strongly related to measures of intermediary balance sheet constraints and primary dealer … dollar roll, we allow for the possibility of a prepayment risk premium. We develop a new model-implied measure of funding …

This work uses financial markets connected by arbitrage relations to investigate the dynamics of price and liquidity … discovery, which refer to the cross-instrument forecasting power for prices and liquidity, respectively. Specifically, we seek … the liquidity discovery induced by the COVID-19 pandemic. Within a cointegration model, we find that price discovery …

This work uses financial markets connected by arbitrage relations to investigate the dynamics of price and liquidity … discovery, which refer to the cross-instrument forecasting power for prices and liquidity, respectively. Specifically, we seek … the liquidity discovery induced by the COVID-19 pandemic. Within a cointegration model, we find that price discovery …

size of trades by the large trader as well as the exercise region for the options holders for different levels of liquidity …

' liquidity both statistically and economically …

This paper examines transaction costs and liquidity in the index CDS market by matching intraday quotes to real … price level or 2.73% of CDS spread. Dodd-Frank does affect transaction costs and liquidity. Liquidity improves after the …