Over the period 2000-2019, we reexamine the connection between finance, as measured by one of the primary banking sector functions-liquidity creation (LC)-and economic growth (EG) in 10 MENA countries panel. In a scenario seen as a dynamic heterogeneous panel, pooled mean group estimates...

Liquid Democracy is a voting system touted as the golden medium between representative and direct democracy: decisions are taken by referendum, but voters can delegate their votes as they wish. The outcome can be superior to simple majority voting, but even when experts are correctly identified,...

Just-in-time (“JIT”) liquidity is a liquidity provision strat- egy found in blockchain-based automated market makers like the Uniswap Protocol, where a liquidity provider (“LP”) mints and burns a concen- trated position immediately before and after a swap. There have been wide-spread...

We examine the role of institutional investors in monetary policy transmission to asset markets by exploiting a discontinuous threshold in the tax treatment of municipal bonds. As bonds approach the threshold, mutual funds, the primary institutional traders in the market, dispose of the bonds at...

Banks are financial intermediaries who transform deposits into loans. Banks in the MENA (Middle East and North Africa) region use large deposits from oil companies and big businesses to finance trade, and fund government and private sector infrastructure projects. The role of banks in financing...

The inefficient pricing of the CDS (credit default swap) market has been considered as one of the main causes of the Global Financial Crisis. As price discovery is theoretically related to liquidity, this has been considered a source of mispricing in this over-the-counter market. However the CDS...

We examine the impact of multidimensional stock market liquidity on business cycles that captures the key market liquidity characteristics. Using 10 different liquidity measures and 5 sub-dimensions, we find that the effect of liquidity on economic growth differs among liquidity sub-dimensions...

Investment portfolios that include private assets can gain a number of potential advantages, including diversification, enhanced returns and less risk. Moreover, there is evidence of a growing number of private asset investment opportunities that can have a positive sustainable impact. However,...

We investigate the effect of the regime-switching transaction costs and dividends on liquidity premium and investor’s optimal strategy. With reasonably calibrated parameters, we show that counter-cyclical transaction costs substantially raise liquidity premium while procyclical dividends...

The beginning of the year 2023 is marked by continued economic instability, some of it still lingering from economic ramifications of the COVID-19 pandemic, some brought on by the war in Ukraine, high energy prices and other more regional factors. For businesses of all shapes and sizes, this...

This paper studies the role of a lender of last resort (LLR) in a monetary model where a shortage of a bank's monetary reserves (a liquidity crisis) occurs endogenously. We show that discount window lending by the LLR is welfare-improving but reduces banks' ex-ante incentive to hold monetary...

In 2008, first suspicions arose that the London Interbank Offered Rate (LIBOR) had been systematically manipulated by financial institutions involved with its fixing; in June 2012, several major international banks officially admitted to this. The regulatory response could not have been...

We examine the role of institutional investors in monetary policy transmission to asset markets by exploiting a discontinuous threshold in the tax treatment of municipal bonds. As bonds approach the threshold, mutual funds, the primary institutional traders in the market, dispose of the bonds at...

We explore the impact of central clearing on the demand for collateral arising from variation margin calls in the derivatives market. We find that the aggregate demand for collateral is not necessarily minimal when all contracts are centrally cleared. Hence, at least in this respect, increasing...

Theory offers two diverging views on the effects of ex-ante litigation risk on corporate liquidity proxied by cash holdings. Ex-ante litigation risk, however, is difficult to measure. We test the liquidity effects of ex-ante litigation risk exploiting the phase-by-phase introduction of...

I perform a comparative analysis of several state-of-the-art machine learning methods for liquidity prediction in the corporate bond market. I first construct a liquidity measure using the first principal component of 11 liquidity measures, then build a comprehensive data library of corporate...

The paper presents an alternative approach to measuring systemic illiquidity applicable to countries with frontier and emerging financial markets, where other existing methods are not applicable. We develop a novel Systemic Illiquidity Noise (SIN)-based measure, using the...

We construct a Kyle (1985)-type market model in which fast and slow traders are present. We perform numerical calculations after deriving the equilibrium condition, described as a simultaneous equation system. A major finding is that the fast trader, who has an advantage in trade frequency, acts...

This research investigates the influence of Fintech development upon bank diversification and liquidity in China. Analysing 101 banks between 2011 and 2021, we apply robust text mining processes and implement factor analyses to construct a Fintech development index, which is used to test for...

Emerging markets (EM) corporate bonds are perceived to offer attractive diversification potential and risk-adjusted returns, but to be illiquid. This study expands the empirical evidence by examining the liquidity of EM debt by solving a triangular structured system. We find EM bond liquidity to...

In 2008, first suspicions arose that the London Interbank Offered Rate (LIBOR) had been systematically manipulated by financial institutions involved with its fixing; in June 2012, several major international banks officially admitted to this. The regulatory response could not have been...

In this paper, we characterise the liquidity provision and price discovery roles of dealers and HFTs in the FX spot market during the sample period between 2012 and 2015. We find that they have different responses to adverse market conditions: HFT liquidity provision is less sensitive to spikes...

The study investigates the impact of financial distress (credit spread) and liquidity crises (TED spread) on size, value, profitability, investment and momentum premiums within the US Real Estate Investment Trust market. Using daily data from 2001 to 2020, we examine the presence, magnitude and...

This paper explores the relationship between market liquidity and market return around scheduled Federal Open Market Committee (FOMC) meetings. We document that market liquidity on the day prior to the announcement contains useful information to predict the post-FOMC announcement return, which...

The Friedman rule recommends eliminating liquidity premia on nominally risk-free government debt and following a deflationary monetary policy. The desirability of this prescription in a broad class of monetary models contrasts sharply with observation. In reality, the average rate of inflation...

Corporate bonds carry a premium of extreme illiquidity (EIL). This premium permeates all rating categories and heightens in times of stress and periods with high uncertainty. EIL has predictive power in the cross-section for future returns up to at least a one-year horizon. Active investors like...

The study investigates how economic policy uncertainty (EPU) moderates the impact of excess liquidity on risk-taking behaviours of banks and further examines whether the degree of such a moderating factor becomes stronger in the countries which were heavily affected by the 2008 Global Financial...

The study investigates the impact of financial distress (credit spread) and liquidity crises (TED spread) on size, value, profitability, investment and momentum premiums within the US Real Estate Investment Trust market. Using daily data from 2001 to 2020, we examine the presence, magnitude and...

The study empirically investigates the impact of liquidity management on financial performance of deposit money bank in Nigeria using time series data from 2011 to 2020. The study analyses the data with the aid of E-view statistical package for descriptive and correlation analysis and STATA 11...

The absence of liquidity in the stock market causes uneasiness in the market. Proper trading strategies are devised when liquidity is present making the magnitude of returns determinable. The study investigated stock market liquidity levels for the Zimbabwe Stock Exchange during the pre-Covid...

We study the link between illiquidity and co-movement in illiquidity and the way asset managers trade off illiquidity and co-illiquidity in their portfolio allocation decision. By exploring two experiments – the 2005 SHO Regulation and the 2008 short selling ban – we document that in the...

Commercial-paper backup lines account for a substantial share of undrawn loan commitments in the corporate sector, but have despite this received scant attention in the credit-line literature. In this paper, I study the liquidity-insurance properties of backup lines using a comprehensive loan-...

We study the effects of financial frictions on firm exit when firms face large liquidity shocks. We develop a simple model of firm cost-minimization that introduces a financial friction that limits firms' borrowing capacity to smooth temporary shocks to liquidity. In this framework, firm exit...

Although climate-induced liquidity risks can cause significant disruptions and instabilities in the financial sector, they are frequently overlooked in current debates and policy discussions. This paper proposes a macro-financial agent-based integrated assessment model to investigate the...