. This generates a preference for liquidity that is time-varying and increasing with volatility. We show that during volatile …We propose a dynamic equilibrium model of a multi-asset market with stochastic volatility and transaction costs. Our … times, assets' liquidity premia increase, investors become more risk averse, assets become more negatively correlated with …

identical, implying that the concentration of liquidity in one asset is socially desirable. At the same time, too many buyers …

that they must deliver the asset they borrowed. As a result, that asset enjoys both greater liquidity, measured by search … times, and a higher lending fee ("specialness"). Liquidity and specialness translate into price premia that are consistent …

fragility require financial vulnerability in the banking sector and liquidity shortages in the non-bank private sector. The …

argument for the existence of safe harbours is liquidity in the financial market. Safe harbour rules do away with a number of … legal concepts, notably those attached to traditional security, and thereby allow for an exponentiation of liquidity … liquidity. To the extent that safe harbours accelerate contagion in terms of crisis, which in principle is a valid argument …

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 do so …, depend on the assets' market liquidity. We show that, under certain conditions, margins are destabilizing and market …