liquidity shock. Dealers provided liquidity by increasing both their long cash and short forward positions significantly, but … subject to Basel III liquidity regulations increased their positions more than others. The basis narrowed by about $0 … combined liquidity constraints of investors and dealers led to severe price dislocations, and the Fed, in its role as the …

assets are likely to serve as media of exchange or collateral (a definition of liquidity often employed in monetary theory …), or that they can be easily sold in a secondary market, if needed (a definition of liquidity closer to the one adopted in … finance)? We develop a model where these two notions of asset liquidity coexist, and their relative importance is determined …

This paper examines the dynamic relationship between credit risk and liquidity in the sovereign bond market in the … context of the European Central Bank (ECB) interventions. Using a comprehensive set of liquidity measures obtained from a … risk, as measured by the Italian sovereign credit default swap (CDS) spread, generally drive the liquidity of the market: a …

The goal of this paper is to study how informational frictions affect asset liquidity in OTC markets in a laboratory …

Treasury security issue size and liquidity. Treasury bills that were first issued with fifty-two weeks to maturity and then … given maturity) than when they are off-the-run, and persists when controlling for other factors that affect liquidity. The … liquidity benefits of reopenings are more than offset by the direct supply costs. …

dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …

We analyze the relationship between the long term development in liquidity at the Oslo Stock Exchange and the Norwegian … economy for the period 1980 to 2007. We calculate different liquidity measures that captures various dimensions of liquidity … over time and across industry groups. Overall, we find that the liquidity at the OSE has improved over the sample period …