Results 81 to 90 of about 292,088 (207)
Retracted: Empirical Research on the Prediction Effect of Volatility Model Based on the Perspective of Investor Sentiment Health and Market Liquidity. [PDF]
J Healthc Eng, 2023 Engineering JOH.
europepmc +1 more source
Liquidity matters: Evidence from the Russian interbank market [PDF]
We suggest an additional transmission channel of contagion on the interbank market - the liquidity channel. Examining the Russian banking sector, we and that the liquidity channel contributes significantly to understanding and predicting interbank market
Kares, Alexei +2 more
core
Measuring Treasury Market Liquidity [PDF]
SSRN Electronic Journal, 2001 This paper examines a comprehensive set of liquidity measures for the U.S. Treasury market. The measures are analyzed relative to one another, across securities, and over time. I find highly significant price impact coefficients, such that a simple model that explains price changes with net order flow produces an R2 statistic above 30% for the two-year
openaire +4 more sources
Volatility regimes and the provisions of liquidity in order book markets [PDF]
We analyze whether the liquidity provision in a pure order book market during normal market conditions (low volatility regime) differs from what is observed when the market is under stress (high volatility regime).
Alain, DURRE +2 more
core
Borsa Istanbul Review, 2019 This paper investigates the effect of liquidity risk on asset returns in an emerging market, Borsa Istanbul, under the LCAPM framework. The results suggest that including illiquidity betas to the CAPM model contribute the explanation power of systematic ...
Erdinç Altay, Seda Çalgıcı
doaj +1 more source
Market liquidity and banking liquidity: linkages, vulnerabilities and the role of disclosure. [PDF]
During the course of 2007, global financial markets went through noticeable periods of turbulence. In particular, complex credit markets suffered a marked set-back.
Herzberg, V., Praet, P.
core
The transmission of non-banking liquidity shocks to the banking sector
Latin American Journal of Central BankingThe increasing interdependence between non-banking financial institutions (NBFIs) and the banking sector conditions the provision of liquidity in the financial markets. This paper evaluates how the market stress associated to the bankruptcy of one of the
Miguel Sarmiento
doaj +1 more source
Variable rate liquidity tenders [PDF]
This paper constructs an equilibrium model for the short-term money market, when the central bank provides liquidity via variable rate tenders. The relation between market rate of interest and liquidity is derived from a single bank’s profit maximisation
Välimäki, Tuomas
core +3 more sources
Liquidity, Redistribution, and the Welfare Cost of Inflation [PDF]
This paper studies the long run welfare costs of inflation in a micro-founded model with trading frictions and costly liquidity management. Agents face uninsurable idiosyncratic uncertainty regarding trading opportunities in a decentralized goods market ...
Jonathan Chiu, Miguel Molico
core
Sturm und Drang in money market funds: when money market funds cease to be narrow [PDF]
This paper investigates the returns and flows of German money market funds before and during the liquidity crisis of 2007/2008. The main findings of this paper are: In liquid times money market funds enhanced their returns by investing in less liquid ...
Jank, Stephan, Wedow, Michael
core +3 more sources