We extend the “No-dynamic-arbitrage and market impact”-framework of Jim Gatheral [Quantitative Finance, 10(7): 749-759 (2010)] to the multidimensional case where trading in one asset has a cross-impact on the price of other assets. From the condition of absence of dynamical arbitrage we...

The reuse of collateral can support the efficient allocation of safe assets in the financial system. Exploiting a novel dataset, we show that banks substantially increase their reuse of sovereign bonds in response to scarcity induced by Eurosystem asset purchases. While repo rates react little...

We study the impact of transparency on liquidity in OTC markets. We do so by providing an analysis of liquidity in a corporate bond market without trade transparency (Germany), and comparing our findings to a market with full posttrade disclosure (the U.S.). We employ a unique regulatory dataset...