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  1. Liquidity holdings, diversification, and aggregate shocks
    Published: December 2017
    Publisher:  Bank of England, London

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    Language: English
    Media type: Book
    Format: Online
    Series: Staff working paper / Bank of England ; no. 698
    Subjects: Liquidity; diversification; crises; regulation
    Scope: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  2. Drivers of market liquidity
    regulation, monetary policy or new players?
    Published: [2018]
    Publisher:  De Nederlandsche Bank NV, Amsterdam, the Netherlands

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    Language: English
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    Format: Online
    Series: Working paper / De Nederlandsche Bank NV ; no. 605 (September 2018)
    Subjects: Liquidity; Financial Markets; Monetary Policy; Regulation
    Scope: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  3. Chained financial frictions and credit cycles
    Published: February 2018
    Publisher:  Banque centrale du Luxembourg, Luxembourg

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    Series: Working paper / Banque centrale du Luxembourg ; no 116
    Subjects: Banking; Bank Collateral; Liquidity; Capital Misallocation; Macroprudential Policy
    Scope: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  4. The risk of becoming risk averse
    a model of asset pricing and trade volumes
    Published: December 2018
    Publisher:  Federal Reserve Bank of Minneapolis, Minneapolis, MN

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    VS 410
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    Language: English
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    Format: Online
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    Series: Staff report / Research Division, Federal Reserve Bank of Minneapolis ; 577 (December 2018)
    Subjects: Liquidity; Trade volume; Asset pricing; Tobin taxes
    Scope: 1 Online-Ressource (circa 86 Seiten), Illustrationen
  5. Government debt and growth
    the role of liquidity
    Published: August 2017
    Publisher:  Swiss National Bank, Zurich

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: This draft: August 2017
    Series: SNB working papers ; 2017, 13
    Subjects: Government Debt; Growth; Liquidity; Non-linearity
    Scope: 1 Online-Ressource (circa 43 Seiten), Illustrationen
  6. Dynamic consequences of monetary policy for financial stability
    Published: October 29, 2018
    Publisher:  Williams College : Economics, Williamstown, MA, USA

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    Language: English
    Media type: Book
    Format: Online
    Edition: This version: October 29, 2018
    Series: Williams College Economics Department working paper series ; 2018, 06
    Subjects: Monetary policy; Leaning against the wind; Financial stability; Macroeconomic instability; Banks; Liquidity
    Scope: 1 Online-Ressource (ca 58 Seiten), Illustrationen
  7. Sentiment, liquidity and asset prices
    Published: October 2017
    Publisher:  Universitat Pompeu Fabra, Department of Economics and Business, Barcelona

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: Preliminary draft
    Series: Economics working paper series ; no. 1583
    Subjects: Sentiment; Liquidity; Asset Prices; Capital Reallocation; Business Cycles
    Scope: 1 Online-Ressource (circa 32 Seiten), Illustrationen
  8. Local constant-quality housing market liquidity indices
    Published: [2019]
    Publisher:  De Nederlandsche Bank NV, Amsterdam, the Netherlands

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    Source: Union catalogues
    Language: English
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    Format: Online
    Series: Working paper / De Nederlandsche Bank NV ; no. 637 (May 2019)
    Subjects: Liquidity; Housing; Quality; Index; Thin markets
    Scope: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  9. Dynamic bank runs: an agent-based approach
    Published: [2019]
    Publisher:  FEA/USP, [São Paulo]

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    VS 532
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    Language: English
    Media type: Book
    Format: Online
    Series: Working paper series / Department of Economics-FEA/USP ; no 2019, 07
    Subjects: Liquidity; Banking; Bank run
    Scope: 1 Online-Ressource (circa 23 Seiten), Illustrationen
  10. Does family matter?
    venture capital cross-fund cash flows
    Published: [2022]
    Publisher:  Center for Financial Studies, Goethe University, Frankfurt am Main, Germany

    Venture capital (VC) funds backed by large multi-fund families tend to perform substantially better due to cross-fund cash flows (CFCFs), a liquidity support mechanism provided by matching distributions and capital calls within a VC fund family. The... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Venture capital (VC) funds backed by large multi-fund families tend to perform substantially better due to cross-fund cash flows (CFCFs), a liquidity support mechanism provided by matching distributions and capital calls within a VC fund family. The dynamics of this mechanism coincide with the sensitivity of different stage projects owing to market liquidity conditions. We find that the early-stage funds demand relatively more intra-family CFCFs than later-stage funds during liquidity stress periods. We show that the liquidity improvement based on the timing of CFCF allocation reflects how fund families arrange internal liquidity provision and explains a large part of their outperformance.

     

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/268897
    Series: CFS working paper series ; no. 695
    Subjects: Venture capital; Fund family; Subsidization; Liquidity; Performance
    Other subjects: Array
    Scope: 1 Online-Ressource (circa 37 Seiten), Illustrationen
  11. Dealing with debt
    less risk for more growth in Latin America and the Caribbean
    Contributor: Powell, Andrew (HerausgeberIn); Valencia, Oscar M. (HerausgeberIn)
    Published: [2023]
    Publisher:  Inter-American Development Bank, [Washington, DC]

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    Contributor: Powell, Andrew (HerausgeberIn); Valencia, Oscar M. (HerausgeberIn)
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9781597825306
    Other identifier:
    hdl: 11159/15909
    Series: Development in the Americas
    Subjects: Economy; Gross Domestic Product; Financial Bond; Bank Loan; Monetary Policy; Macroeconomy; Public Debt; Investment; Interest Rate; Pandemic; Coronavirus; Fiscal Policy; Debt Management; Liquidity; Small Business; Finance; Public Debt Management
    Scope: 1 Online-Ressource (circa 399 Seiten), Illustrationen
  12. Stock Market Liquidity, Monetary Policy and the Business Cycle
    Published: 2022
    Publisher:  SSRN, [S.l.]

    Næs, Skjeltorp, and Ødegaard (2011) provide empirical evidence that stock market liquidity contains leading information about future economic activity. Their result suggests a rebalancing of small, increasingly illiquid to large stocks in recession... more

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    Næs, Skjeltorp, and Ødegaard (2011) provide empirical evidence that stock market liquidity contains leading information about future economic activity. Their result suggests a rebalancing of small, increasingly illiquid to large stocks in recession times, an expression of “flight-to-quality”. We show that the relationship no longer holds due to the Fed’s accommodative monetary policy to buoy stock markets in crisis starting in the 1990s. Moreover, we document that liquidity dry-ups in small stocks no longer coincide with recessions. The Fed’s interventions mute the systematic link between monetary conditions and aggregate stock market liquidity’s well-established business cycle component

     

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    Source: Union catalogues
    Language: English
    Media type: Book
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    Series: Swiss Finance Institute Research Paper ; No. 22-93
    Subjects: Financial Markets and the Macroeconomy; Liquidity; Monetary Policy
    Scope: 1 Online-Ressource (22 p)
    Notes:

    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 25, 2022 erstellt

  13. Realized Illiquidity
    Published: 2022
    Publisher:  SSRN, [S.l.]

    We study the theoretical and empirical properties of a simple measure of market illiquidity, namely the realized Amihud, which is defined as the ratio between the realized volatility and trading volume and which refines the popular price impact... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    We study the theoretical and empirical properties of a simple measure of market illiquidity, namely the realized Amihud, which is defined as the ratio between the realized volatility and trading volume and which refines the popular price impact measure proposed by Amihud (2002). In our model, both price volatility and market liquidity are assumed to follow stochastic processes in continuous time. In this setting, characterized by stochastic volatility and liquidity, we prove that the realized Amihud provides a precise measurement of the inverse of integrated liquidity over fixed-length periods (e.g., a day, a week, a month). We consider a number of alternative econometric specifications, hence highlighting the main dynamic and distributional properties of the realized Amihud, including jumps, clustering, and leverage effects

     

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    Language: English
    Media type: Book
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    Series: Swiss Finance Institute Research Paper ; No. 22-90
    Subjects: Liquidity; Stochastic Volatility; Trading Volume; Amihud; Jumps
    Other subjects: Array
    Scope: 1 Online-Ressource (42 p)
    Notes:

    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 21, 2022 erstellt

  14. Liquidity, debt denomination, and currency dominance
    Published: [2023]
    Publisher:  Stanford Institute for Economic Policy Research (SIEPR), Stanford, CA

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    Language: English
    Media type: Book
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    Series: Working paper / Stanford Institute for Economic Policy Research (SIEPR) ; no. 23, 05 (February, 2023)
    Subjects: International Currencies; Dollar Dominance; Liquidity; Corporate Debt
    Scope: 1 Online-Ressource (circa 65 Seiten), Illustrationen
  15. Bankruptcy regime change and credit risk premium on corporate bonds
    evidence from the indian economy
    Published: February 2023
    Publisher:  Indira Gandhi Institute of Development Research, Mumbai

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    Language: English
    Media type: Book
    Format: Online
    Series: [WP series / Indira Gandhi Institute of Development Research] ; WP-2023, 001
    Subjects: Bond pricing; Credit spreads; Bankruptcy law; Creditor rights; Credit rating; Maturity; Liquidity; Risk perception
    Scope: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  16. Firms' financial vulnerabilities during Covid-19
    was the French support package too generous?
    Published: [2023]
    Publisher:  OFCE, Paris, France

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    ZSS 48
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    Series: Sciences Po OFCE working paper ; no 2023, 02
    Subjects: COVID; Liquidity; Firm level data; State support; Micro-simulation; Policy effectiveness
    Scope: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  17. A simple approach to estimate long-term interest rates
    Published: [2022]
    Publisher:  Leibniz Institute for Financial Research SAFE, Sustainable Architecture for Finance in Europe, [Frankfurt am Main]

    We propose an easy to implement yield curve extrapolation method to determine long-term interest rates suitable for regulatory valuation. We empirically evaluate this approach for the German nominal bond market, by estimating the model on bonds with... more

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    We propose an easy to implement yield curve extrapolation method to determine long-term interest rates suitable for regulatory valuation. We empirically evaluate this approach for the German nominal bond market, by estimating the model on bonds with maturities up to 20 years and assessing the out-of-sample performance for bonds with maturities beyond 20 years. Even though observed long-term yields are somewhat lower than the predicted yields, the method performs quite well empirically given its simplicity. We perform a case study on pension fund liability valuation and show that our proposed method would have a substantial impact on liability values.

     

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/268747
    Series: SAFE working paper ; no. 238
    Subjects: Sovereign Bonds; Term Structure of Interest Rates; Segmentation; Liquidity; Flight-to-safety; Credit Risk
    Scope: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  18. Liquidity, debt denomination, and currency dominance
    Published: 19 February 2023
    Publisher:  Centre for Economic Policy Research, London

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    Universitätsbibliothek Mannheim
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP17922
    Subjects: US-Dollar; Reservewährung; Internationales Währungssystem; Internationaler Finanzmarkt; Verbindlichkeiten; Betriebliche Liquidität; Internationale Liquidität; International Currencies; Dollar Dominance; Liquidity; Corporate Debt
    Scope: 1 Online-Ressource (circa 68 Seiten), Illustrationen
  19. Money matters
    broad divisia money and the recovery of nominal GDP from the COVID-19 recession
    Published: May 2023
    Publisher:  Federal Reserve Bank of Dallas, Research Department, Dallas

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    VS 686
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    Source: Union catalogues
    Language: English
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    Series: Working paper / Federal Reserve Bank of Dallas, Research Department ; 2306
    Subjects: Velocity; Monetary Services Index; Divisia; Liquidity; Money; Shadow Banks; Mutual Funds
    Scope: 1 Online-Ressource (circa 52 Seiten), Illustrationen
  20. Large orders in small markets
    execution with endogenous liquidity supply
    Published: 06 July 2023
    Publisher:  Centre for Economic Policy Research, London

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP18276
    Subjects: Liquidity; Welfare; Market makers
    Scope: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  21. ETF effects
    the role of primary versus secondary market activities
    Published: 20 June 2023
    Publisher:  Centre for Economic Policy Research, London

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP18234
    Subjects: Liquidity; Arbitrage; Volatility; High frequency trading; Exchange-traded funds
    Scope: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  22. Dash for dollars
    Published: April 21, 2023
    Publisher:  [London School of Economics and Political Science], [London, UK]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: [CFM discussion paper series] ; [CFM-DP 2023, 14]
    Subjects: Corporate Bonds; Heterogeneity; Credit spreads; Liquidity; Dash-for-cash; Dollar demand; Covid-19; Trading volumes
    Scope: 1 Online-Ressource (circa 55 Seiten)
  23. Los determinantes de la liquidez en Colombia: un análisis del mercado de divisas de contado
    Published: [2021]
    Publisher:  Banco de la Republica Colombia, Bogotá, Colombia

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    Language: Spanish
    Media type: Book
    Format: Online
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    hdl: 20.500.12134/10247
    Series: Borradores de economía ; no. 1185 (2021)
    Subjects: Colombia; Foreign exchange market; Liquidity; Resilience
    Scope: 1 Online-Ressource (circa 25 Seiten), Illustrationen
  24. Mitigating fire sales with a central clearing counterparty
    Published: 22 February 2023
    Publisher:  Centre for Economic Policy Research, London

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    Series: Array ; DP17933
    Subjects: Fire sales; Liquidity; Central clearing; Ccp
    Scope: 1 Online-Ressource (circa 53 Seiten), Illustrationen
  25. Transaction costs and capacity of systematic corporate bond strategies
    Published: 03 November 2023
    Publisher:  Centre for Economic Policy Research, London

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP18569
    Subjects: Corporate bonds; Transaction costs; Microstructure; Liquidity; Investment strategy; Capacity constraints
    Scope: 1 Online-Ressource (circa 58 Seiten), Illustrationen