We propose several econometric measures of connectedness based on principal-
components analysis and Granger-causality networks, and apply them to the monthly …

We provide a model that links an asset's market liquidity (ie, the ease with which it is traded)
and traders' funding liquidity (ie, the ease with which they can obtain funding). Traders …

Few areas of monetary economics have been studied as extensively as the transmission
mechanism. The literature on this topic has evolved substantially over the years, following …

This paper investigates fire sales of downgraded corporate bonds induced by regulatory
constraints imposed on insurance companies. As insurance companies hold over one-third …

Credit default swaps (CDS) have been growing in importance in the global financial
markets. However, their role has been hotly debated, in industry and academia, particularly …

We identify a new channel for the transmission of shocks across international markets.
Investor flows to funds domiciled in developed markets force significant changes in these …

I propose a new measure that identifies when the market price of an over-the-counter traded
asset is below its fundamental value due to selling pressure. The measure is the difference …

We study the exposure of the US corporate bond returns to liquidity shocks of stocks and
Treasury bonds over the period 1973–2007 in a regime-switching model. In one regime …

Defining contagion as correlation over and above that expected from economic
fundamentals, we find strong evidence of worst return contagion across hedge fund styles …

We derive an equilibrium asset pricing model incorporating liquidity risk, derivatives, and
short‐selling due to hedging of nontraded risk. We show that illiquid assets can have lower …