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 …

We develop a credit-risk model to study how information acquisition affects the liquidity in a secondary bond market …

This paper provides an information-based theory of tranching, a practice in which sellers slice a financial asset into … predictions on the liquidity of individual debt securities: the selling probability of a debt security increases in its seniority …

In over-the-counter markets, the presence of two frictions is central to determine prices, liquidity, and efficiency … specifications of delay, the set of traded assets and the dependence of asset prices and spreads on default risk, liquidity, and … offers a novel testable prediction: for assets within the same credit rating class, the liquidity is U-shaped in quality …

implications for liquidity and optimal policy interventions including open market operations …

Financial markets and financial intermediation may be competing mechanisms in the provision of liquidity insurance and … when there is private information about liquidity shocks and alternative insurance mechanisms. Regions are subject to … idiosyncratic liquidity demand shocks and households are subject to liquidity preference shocks, where both types of shocks are …

buyers through partial retention of assets if and only if their liquidity holdings are large. However, when sellers … their liquidity holdings are small. The model is extended to study the implications for discount window lending and …

to the Macroeconomics Dynamics special issues on money, credit and liquidity …

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 …