During the subprime crisis, the Federal Reserve introduced several emergency liquidity programs as supplements to the … programs were used by relatively few institutions and had modest effects on the liquidity of short-term debt markets. Instead …

institutions. The reason is that agents in need of liquidity tend to concentrate their holdings in banks. Thus, a shock to banks … disproportionately affects the agents who need liquidity the most, reducing aggregate demand and the level of economic activity. The …

In this paper, we make a liquidity adjustment to the consumption-based capital asset pricing model (CCAPM) and show … that the liquidity-adjusted CCAPM is a generalized model of Acharya and Pedersen (2005). Using different proxies for … Schultz (2012), we find that the liquidity-adjusted CCAPM explains a larger fraction of the cross-sectional return variations …

absolute, volume of orders over volatility. To this end, we propose a new measure, relative liquidity, which accounts for how … liquidity provision farther away from the best quotes, relative to the rest of the book, is associated with a disagreement on …

This paper examines transaction costs and liquidity in the index CDS market by matching intraday quotes to real … price level or 2.73% of CDS spread. Dodd-Frank does affect transaction costs and liquidity. Liquidity improves after the …