We formalize the idea that the financial sector can be a source of non-fundamental risk. Households' desire to hedge … against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices … may fall, risk-averse households demand safe assets from leveraged intermediaries, whose issuance of safe assets exposes …

We formalize the idea that the financial sector can be a source of non-fundamental risk. Households' desire to hedge … against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices … may fall, risk-averse households demand safe assets from leveraged intermediaries, whose issuance of safe assets exposes …

a measure of liquidity based on the standard deviation of yields of those bonds that are used to compute the average …

We discuss the notion of liquidity and liquidity risk within the financial system. We distinguish between three … the root of liquidity risk lies in information asymmetries and the existence of incomplete markets. The role of central … different liquidity types, central bank liquidity, funding and market liquidity and their relevant risks. In order to understand …

(fall) and liquidity falls (increases) buy (sell) orders tend to prevail. Risk-averse market-makers, with inventory … documents the existence of an asymmetric relationship between market liquidity and trading imbalances: when quoted spreads rise …-depletion risk being their main concern, tend to quote wider (narrower) spreads when they think bond appreciation is more (less …

bond market liquidity. In order to stabilize these markets, policy makers recently proposed that the trading of corporate … only if it is feasible for him to also affect market liquidity, by either increasing or decreasing it. …