This paper uses the framework of arbitrage-pricing theory to study the relationship between liquidity risk and … proposition that liquidity risk affects the price of sovereign debt. This period was the last time that the debt of a … reflected in greater sensitivity to innovations in market liquidity. Second, small sovereign bonds, as measured by market value …

This paper constructs new indicators of liquidity for equity, bond and money markets in major advanced and emerging … evidence of an historical increase in market liquidity since the early 1990s, in part as a result of advances in international … financial integration, but markets have been increasingly exposed to global systemic liquidity shocks. Second, liquidity …

: undiversifiable interest rate risk and shocks to aggregate liquidity demand. Mutual funds are inefficient when the economy faces … undiversifiable interest rate risk. However, if only aggregate liquidity demand is stochastic, mutual funds can implement the social … optimum even when liquidity demand is not directly observed. …