-indexed bonds (TIPS) and inflation swaps. Using US data, we show that the level of liquidity affects TIPS, whereas swap yields …, which exactly replicate the nominal cash flows. We study whether this mispricing arises from liquidity premiums in inflation … include a liquidity risk premium. We also allow for liquidity effects in nominal bonds. These results are based on a model …

We present evidence that the funding liquidity aggregates of U.S. financial intermediaries forecast exchange rate … estimate prices of risk using a cross-sectional asset pricing approach and show that U.S. dollar funding liquidity forecasts … liquidity channel in an intertemporal equilibrium pricing model where the “risk appetite” of dollar-funded intermediaries …

A substantial body of existing research suggests that asset price volatility is harmful to market liquidity. This paper …

We analyse the relationship between global liquidity and exchange market pressure in 32 emerging market economies … accounts for changes in exchange rates, foreign exchange reserves and, optionally, interest rates. Surges in monetary liquidity … market conditions: ample liquidity provision in advanced economies contributes to the build-up of financial stability risks …

Based on the theory of static replication of variance swaps we assess the sign and magnitude of variance risk premiums …

This paper analyses deviations in yen-dollar cross-currency swap markets between 2007 and 2017. Using weekly …

The subject of our study is market liquidity, which is an important element of the functioning of financial markets …. Adequate liquidity of markets is of great significance from the point of view of both market participants and the central bank …