This essay surveys the new monetarist approach to liquidity. Work in this literature strives for
empirical and policy relevance, plus rigorous foundations. Questions include: What is …

We survey theoretical developments in the literature on the limits of arbitrage. This literature
investigates how costs faced by arbitrageurs can prevent them from eliminating mispricings …

Can securities be settled on a blockchain, and, if so, what are the gains relative to existing
settlement systems? The main benefit of a blockchain is faster and more flexible settlement …

We assess the yield impact of asset purchases within the European Central Bank׳ s (ECB)
Securities Markets Programme (SMP) in five euro area sovereign bond markets from 2010 …

This paper solves explicitly a simple equilibrium model with liquidity risk. In our liquidity-
adjusted capital asset pricing model, a security's required return depends on its expected …

We model the dynamics of risk premia during crises in asset markets where the marginal
investor is a financial intermediary. Intermediaries face an equity capital constraint. Risk …

ABSTRACT I describe asset price dynamics caused by the slow movement of investment
capital to trading opportunities. The pattern of price responses to supply or demand shocks …

This paper investigates how dealers' trading relations shape their trading behavior in the
corporate bond market. Dealers charge lower spreads to dealers with whom they have the …

Financial market behavior and key trading strategies—illuminated by interviews with top
hedge fund experts Efficiently Inefficient describes the key trading strategies used by hedge …

We study how intermediation and asset prices in over‐the‐counter markets are affected by
illiquidity associated with search and bargaining. We compute explicitly the prices at which …