We devise a simple model of liquidity demand and supply to deepen the understanding of dealers’ liquidity provision in …' intermediation capacity is constrained the cost of liquidity provision increases disproportionately relative to dealer …-intermediated volume. Thus, the otherwise strong and positive relation between liquidity costs and trading volume effectively shrinks to …

intraday price and liquidity dynamics. This gives rise to an intraday endogenous price impact mechanism. As the end of the …

liquidity risks accumulated by this market maker affect his pricing of liquidity and the bid/ask spread he quotes on unsecured … borrowing and lending. We find that the larger the funding liquidity risk assumed by the market maker is, the higher the market … price for liquidity. Furthermore, his bid/ask spread and the sensitivity of his bid/ask spread to the maturity of the …

We provide a model that links an asset's market liquidity - i.e., the ease with which it is traded - and traders …' funding liquidity - i.e., the ease with which they can obtain funding. Traders provide market liquidity, and their ability to … are charged, depend on the assets' market liquidity. We show that, under certain conditions, margins are destabilizing and …