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Market liquidity and funding liquidity.
, 2009
"... Abstract We provide a model that links a assets' market liquidity -i.e., the ease of trading it -and traders' funding liquidity -i.e., their availability of funds. Traders provide market liquidity and their ability to do so depends on their funding. Conversely, traders' funding, i.e. ..."
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Cited by 440 (13 self)
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Abstract We provide a model that links a assets' market liquidity -i.e., the ease of trading it -and traders' funding liquidity -i.e., their availability of funds. Traders provide market liquidity and their ability to do so depends on their funding. Conversely, traders' funding, i
Central Banking and Funding Liquidity
"... We examine the effect of central banking on funding liquidity from 1815-1925. Our study is motivated by the fact that this period experienced the dismantlement of the Second Bank of the US (1816-1836), a quasi-central bank, and the creation of the Federal Reserve (1915-1925), a modern lender-of-last ..."
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We examine the effect of central banking on funding liquidity from 1815-1925. Our study is motivated by the fact that this period experienced the dismantlement of the Second Bank of the US (1816-1836), a quasi-central bank, and the creation of the Federal Reserve (1915-1925), a modern lender
Pricing Fund Liquidity Provision
"... Authorized for distribution by Emmanuel van der Mensbrugghe ..."
A Market-Based Funding Liquidity Measure
, 2013
"... In this paper, we construct a tradable funding liquidity measure from stock re-turns. Using a stylized model, we show that the returns of a beta-neutral portfolio, which exploits investors ’ borrowing constraints (Black (1972)), depend on both the market-wide funding liquidity shock and stocks ’ sen ..."
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In this paper, we construct a tradable funding liquidity measure from stock re-turns. Using a stylized model, we show that the returns of a beta-neutral portfolio, which exploits investors ’ borrowing constraints (Black (1972)), depend on both the market-wide funding liquidity shock and stocks
Treasury Liquidity and Funding Liquidity: Evidence from Mutual Fund Returns
, 2012
"... This paper links the liquidity of US Treasuries and funding liquidity. A positive shock to Treasury illiquidity predicts a decrease in funding liquidity as measured by the Treasury-Eurodollar spread or the VIX. The pricing implications of funding liquidity are tested on the portfolio levels of open- ..."
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Cited by 1 (0 self)
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This paper links the liquidity of US Treasuries and funding liquidity. A positive shock to Treasury illiquidity predicts a decrease in funding liquidity as measured by the Treasury-Eurodollar spread or the VIX. The pricing implications of funding liquidity are tested on the portfolio levels of open
including © notice, is given to the source. Market Liquidity and Funding Liquidity
, 2007
"... JEL No. G12,G21,G24 We provide a model that links an asset's market liquidity- i.e., the ease with which it is traded- and traders ' funding liquidity- i.e., the ease with which they can obtain funding. Traders provide market liquidity, and their ability to do so depends on their availabil ..."
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JEL No. G12,G21,G24 We provide a model that links an asset's market liquidity- i.e., the ease with which it is traded- and traders ' funding liquidity- i.e., the ease with which they can obtain funding. Traders provide market liquidity, and their ability to do so depends
Limits to arbitrage during the crisis: funding liquidity constraints and covered interest parity
, 2011
"... Arbitrage normally ensures that covered interest parity holds. Yet, this paper shows that this central condition in finance broke down for several months after the Lehman bankruptcy for trades funded in dollars. This anomaly emerges for two popular arbitrage strategies, using both unsecured and secu ..."
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Cited by 6 (0 self)
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and secured funding. The secured strategy, newly investigated in this paper, avoids default and rollover risks, thus favoring funding liquidity constraints as an explanation for arbitrage deviations. Additional empirical tests support this hypothesis, although also point to contract risk. Moreover, official
Working Paper No. 372 Funding liquidity risk in a quantitative model of systemic stability
"... Funding liquidity risk in a quantitative model of systemic stability ..."
1 Mutual Fund Liquidity and Fiduciary Conflicts of Interest
, 2012
"... Open-end mutual funds allow purchases and redemptions of shares daily at the closing net asset value. This practice imposes costs upon the mutual fund for portfolio adjustments and maintaining cash balances to handle inflows and redemptions. The cost of providing liquidity falls disproportionately o ..."
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Open-end mutual funds allow purchases and redemptions of shares daily at the closing net asset value. This practice imposes costs upon the mutual fund for portfolio adjustments and maintaining cash balances to handle inflows and redemptions. The cost of providing liquidity falls disproportionately
Loanable funds, liquidity preference: structure, past and present
, 2009
"... Abstract: We appraise the canonical RobertsonKeynes discussion from the structural axis of exogeneity/endogeneity of the interest rate. The interest rate is shown to be an exogenous variable. It is only with Keynes' contribution of liquidity preference and, specifically, the introduction of th ..."
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Abstract: We appraise the canonical RobertsonKeynes discussion from the structural axis of exogeneity/endogeneity of the interest rate. The interest rate is shown to be an exogenous variable. It is only with Keynes' contribution of liquidity preference and, specifically, the introduction
Results 1 - 10
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