MarketLiquidityandFundingLiquidity MarkusK.Brunnermeier PrincetonUniversity LasseHejePedersen NewYorkUniversity Weprovideamodelthatlinksanasset’smarketliquidity(i.e.,theeasewithwhichitis traded)andtraders’fundingliquidity(i.e.,theeasewithwhichtheycanobtainfunding). Tradersprovidemarketliquidity,andtheirabilitytodo...
Liquidity Risk ManagementLiquidityLiquidationSystemic RiskLeverageMarginsHaircutsWe 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, ...
A.The use of a purchased asset as collateral to borrow money against is referred to as market liquidity.B.A decline in a source of funding has the same effect as a decrease in margin.C.A loss spiral is a negative function of market liquidity.D.In a margin spiral, a trader initiates ...
Market Liquidity and Funding Liquidity Market Liquidity and Funding Liquidity∗ Markus K.Brunnermeier†Princeton University Lasse Heje Pedersen‡New York University β-Revision:August2006 Abstract We provide a model that links a assets’market liquidity—i.e.,the ease of trading it—and traders’...
The prevalence of market participant short-term funding enables smooth trading, efficient payment systems, and in turn, supports stock market efficiency and liquidity. Potentially, the FED’s impact on stock market liquidity and efficiency stems from its impacts on commercial bank funding liquidity ...
市场流动性(Market Liquidity) 主要用在证券交易语境下,流动性通常指以接近共识价值(consensus value)的价格快速交易证券的能力。市场流动性即本书所主要讨论的流动性。 资金流动性(Funding Liquidity) 在银行或公司的语境下,流动性通常指拥有足够现金,或有能力以较低成本、较低风险获得信贷资金。 资金流动性与市场流动...
(i) stock volatilities, market liquidity, and funding liquidity co-move; (ii) these co-movements intensify during funding liquidity shortages; (iii) lower volatility stocks tend to have higher market liquidity; and (iv) funding liquidity constraints more adversely affect the market liquidity of ...
17.9 Direct and Indirect Finance-Banking Evolution Loan-based Credit to Market-b MacroAllocation 4 0 05:35 18.7 Forwards and Futures-Cash and Carry Arbitrage, Explained as Liquidity Risk MacroAllocation 1 0 15:12 20.9 Credit Default Swaps-Example Private backstop of Marketmaking in CDS Macr...
“Market liquidity and funding liquidity.” Rev. Financ. Stud., 22 (6) (2009), pp. 2201-2238 CrossrefView in ScopusGoogle Scholar Choi and Sias, 2009 N. Choi, R.W. Sias “Institutional industry herding.” J. Financ. Econ., 94 (3) (2009), pp. 469-491 View PDFView articleView ...
Regarding funding liquidity and market liquidity, which of the following statements is correct?A.The use of a purchased asset as collateral to borrow money against is referred to as market liquidity.B.A decline in a source of funding has the same effect