borrowing limits depend on the sophistication of the financial system, the frequency of liquidity shocks, and the rate of return …

participants are liquidity-constrained, prices become less informative. This creates an adverse selection problem, decreasing the …

I extend and discuss the model of asset liquidity by Lester, Postlewaite, and Wright (2007, 2008). I consider a model … lower fraction of their asset holdings in matches where sellers are uninformed. Both the asset's price and its liquidity (as …

What are liquidity crises? And what can be done to address them? This short article brings together some personal … issues: the distinction between idiosyncratic and systematic elements of liquidity crises; the growing reliance on funding … liquidity in a market-based financial system; the role of payment and settlement systems; the need to improve liquidity buffers …

the innovations in the VIX index. Aggregate liquidity can be seen as the rate of change of the aggregate balance sheet of …

What are liquidity crises? And what can be done to address them? This short paper brings together some personal …: the distinction between idiosyncratic and systematic elements of liquidity crises; the growing reliance on funding … liquidity in a market-based financial system; the role of payment and settlement systems; the need to improve liquidity buffers …

anomalous. The theory also exhibits rational expectations equilibria with recurring belief driven events that resemble liquidity … prices and standard measures of financial liquidity, such as bid-ask spreads, trade volume, and the incentives of dealers to …. The theory predicts that asset prices carry a speculative premium that reflects the asset's marketability and depends on …

We analyze a novel feedback mechanism between market and funding liquidity that causes self-fulfilling liquidity dry … gain by resorting to outside liquidity sources and withhold assets from secondary markets. This leads to adverse selectrion … become mutually reinforcing. We compare different policy measures that can mitigate the risk of inefficient liquidity dry …

downside liquidity for corporate bonds. While the evidence of illiquidity on risk premium in the cross-section of corporate … bonds is mixed, the aggregate liquidity asymmetry has a high explanatory power for the time series of market returns. It is … statistically and economically more significant than the innovation in traditional roundtrip liquidity costs. Some evidence suggests …