COVID-19, government policy responses, and stock market liquidity around the world: A note. [PDF]
Res Int Bus Finance, 2021 Zaremba A +4 more
europepmc +1 more source
Interbank Market Liquidity and Central Bank Intervention [PDF]
We develop a simple model of the interbank market where banks trade a long term, safe asset. We show that when there is a lack of opportunities for banks to hedge aggregate and idiosyncratic liquidity shocks, the interbank market is characterized by ...
Douglas Gale +2 more
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THE CORRELATION BETWEEN THE MARKET RISK AND THE LIQUIDITY RISK IN THE ROMANIAN BANKING SECTOR [PDF]
Annals of the University of Oradea: Economic Science, 2010 A series of studies on liquidity management have appeared during the financial crisis, many of them comparing the funding liquidity with the market liquidity.
Zoicas-Ienciu Adrian, Trenca Ioan
doaj
Asset Pricing with Liquidity Risk [PDF]
This paper solves explicitly an equilibrium asset pricing model with liquidity risk -- the risk arising from unpredictable changes in liquidity over time.
Lasse Heje Pedersen, Viral V. Acharya
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Transition to electronic trading of Kansas City Board of Trade wheat futures [PDF]
This study compares liquidity costs and other characteristics of electronic and open outcry hard red winter wheat futures contracts traded on the Kansas City Board of Trade. Liquidity costs are considerably lower in the electronic market than in the open
Brorsen, B. Wade, Shah, Samarth
core +1 more source
Measuring market liquidity: an introductory survey [PDF]
Asset liquidity in modern financial markets is a key but elusive concept. A market is often said to be liquid when the prevailing structure of transactions provides a prompt and secure link between the demand and supply of assets, thus delivering low ...
Gabrielsen, Alexandros +2 more
core +4 more sources
Impact of Stock Market Liquidity on Economic Growth: Evidence from BRICS Countries
The Anáhuac JournalThis paper examines the relationship between stock market liquidity and economic growth in five emerging countries: Brazil, Russia, India, China, and South Africa, collectively referred to as the BRICS as of 2017.
Samuel Mongrut Montalvan +3 more
doaj +1 more source
Is market liquidity less resilient after the financial crisis? Evidence for US Treasuries. [PDF]
Econ Model, 2020 Broto C, Lamas M.
europepmc +1 more source
Banks' Advantage in Hedging Liquidity Risk: Theory and Evidence from the Commercial Paper Market [PDF]
This paper argues that banks have a unique ability to hedge against systematic liquidity shocks. Deposit inflows provide a natural hedge for loan demand shocks that follow declines in market liquidity. Consequently, one dimension of bank “specialness” is
Evan Gatev, Philip E. Strahan
core
LIQUIDITY RISK MANAGEMENT IN CRISIS CONDITIONS [PDF]
In order to measure the liquidity risk we have developed an analysis model, based on stress-testing scenarios, that shows the ability of the bank to face different types of liquidity crisis. The scenarios were designed for each balance sheet position for
Matis Eugenia, Mutu Simona
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