In this study, we investigate the dynamic relationship between return and liquidity in the Brent and the West Texas Intermediate (WTI) oil markets. The research utilises daily oil price and volume data and monthly macroeconomic data from January 1, 1996 to April 28, 2023 obtained from the Energy...

The present study investigates the relationship between innovation (INN) and foreign direct investment (FDI) attraction across 66 developing countries from 2013 to 2021. Adopting the Difference Generalized Method of Moments estimation, the study reveals a statistically positive INN-FDI nexus....

Liquidity is a key consideration in financial markets, especially in times of financial crises. For this reason, regulatory attention to and measures in this field have been on the rise for the past years. Based on practical experience, regulations aiming at ensuring funding liquidity or, in...

The study examines the market efficiency, multi-dimensions of liquidity, and their interconnectedness for the Emerging Indian Stock Market. In contrast to the extant literature, the current study involves testing the market liquidity considering multi-dimensions such as depth, breadth,...

In this paper we introduce two measures, the Systemic Liquidity Buffer (SLB) and the Systemic Liquidity Shortfall (SLS) to assess liquidity in the banking system. The SLB takes an aggregated perspective on liquidity risks in the banking system. In contrast, the SLS focusses on the problematic...

This working paper was written by Max Bruche (Humboldt University of Berlin) and John C.F. Kuong (INSEAD).We consider a model in which dealers intermediate trades between clients and provide immediacy, or, market liquidity. Dealers can exert unobservable effort to improve the chance of...

It is well established that investors price market liquidity risk. Yet, there exists no financial claim contingent on liquidity. We propose a contract to hedge uncertainty over future transaction costs, detailing potential buyers and sellers. Introducing liquidity derivatives in Brunnermeier and...

This work uses financial markets connected by arbitrage relations to investigate the dynamics of price and liquidity discovery, which refer to the cross-instrument forecasting power for prices and liquidity, respectively. Specifically, we seek to understand the linkage between the cheapest to...

We study third-party loan guarantees in a model in which lenders can screen, learn loan quality over time and can sell loans before maturity when in need of liquidity. Loan guarantees improve market liquidity and reduce lending standards, with a positive overall welfare effect. Guarantees...

A safe asset is of high credit quality, retains its value in bad times, and is traded in liquid markets. We show that bonds issued by the European Union (EU) are widely considered to be of high credit quality, and that their yield spread over German Bunds remained contained during the 2020...

This paper studies market liquidity in interest rate swaps (IRS) before and during the global tightening of monetary policy. IRS constitute the single largest derivatives segment globally. Banks and Pension Funds extensively rely on IRS to hedge interest rate risk. Hence, providing an...

The relationship between macroeconomic factors and stock market liquidity is known but not the same can be said of macroeconomic factors and VC market liquidity. This study investigates whether there is a cointegration between macroeconomic factors and VC market liquidity and examines how...