We propose a method to capture the notion of resilience, the dynamic aspect of liquidity in the limit order book, through the Threshold Exceedance Duration (TED) metric that we introduce. This measures the duration of liquidity 'droughts.' We illustrate the explanatory power of a survival...

We study the impact of five key Fed policy responses to the Covid-19 crisis on the stock market's fear of loss and fear of variability. Using a unique global dataset of option prices to construct the term structures of fear, up to ten years into the future, we find that FX swap lines have the...