Showing 1 - 3 of 3
Extreme market outcomes are often followed by a lack of liquidity and a lack of trade. This market collapse seems … uncertainty with liquidity, we specify a simple market where a monopolist financial intermediary makes a market for a propriety … liquidity. Our infinite-horizon example produces short, dramatic decreases in liquidity even though the underlying environment …
Persistent link: https://www.econbiz.de/10009441008
We study the determinants of liquidity and price differentials between on-the-run and off-the-run U.S. Treasury bond … of these shocks on both off/on-the-run price and liquidity differentials in the presence of two realistic market … implications by analyzing daily differences in market liquidity and yields for on-the-run and off-the-run three-month, six …
Persistent link: https://www.econbiz.de/10009476933
equilibrium market liquidity, and that the magnitudeof this effect is sensitive to the market’s information environment. We test …-the-run Treasury securities decline on days when POMOs are executed; and ii) POMOs’ positive liquidity externalities are increasing in …
Persistent link: https://www.econbiz.de/10009477265