We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or …

Recent financial crisis showed how the unfolding of liquidity risks of financial intermediaries spilled over to asset … markets, contributing to asset price deterioration and the triggering of liquidity spirals. This paper derives and tests a … aggregate funding liquidity risks of the banking system into a simple binary fragility indicator. The main empirical result of …

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, liq …

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 …

Central banks normally accept debt of their own governments as collateral in liquidity operations without reservations …. This gives rise to a valuable liquidity premium that reduces the cost of government finance. The ECB is an interesting …

Central banks normally accept debt of their own governments as collateral in liquidity operations without reservations …. This gives rise to a valuable liquidity premium that reduces the cost of government finance. The ECB is an interesting …

Central banks normally accept debt of their own governments as collateral in liquidity operations without reservations …. This gives rise to a valuable liquidity premium that reduces the cost of government finance. The ECB is an interesting …