We study how the risks to future liquidity flow across corporate bond, Treasury, and stock markets. We document … distribution “flight-to-safety” effects: a deterioration in the liquidity of high-yield corporate bonds forecasts an increase in … the average liquidity of Treasury securities and a decrease in uncertainty about the liquidity of investment …

We investigate a model of liquidity sources that incorporates a general equilibrium feature of liquidity: when banks … hold more liquidity, other sectors of the economy hold less of it and will consequently supply less in times of crisis. The … private allocation of liquidity is inefficient and optimal liquidity regulation depends on the source of liquidity to which it …