Low liquidity and a high marginal propensity to consume are tightly linked. This paper analyzes this link in the context of income tax withholding refunds. A theory rational cash management with uncertainty endogenizes relationship between illiquidity consume, can explain finding that households tend spend refunds as if they valued liquidity, yet do not act increase by reducing their withholdin...

We show how the interbank payment system can become illiquid following wide-scale disruptions. Two forces are at play in such disruptions—operational problems and changes in participants’ behavior. We model the interbank payment system as an n-player game and utilize the concept of a potential function to describe the process by which one of multiple equilibria emerges after a wide-scale disrup...

We construct a model for liquidity risk and price impacts in a limit order book setting, and derive a wealth equation and a characterization of illiquidity costs for liquidity providers. The model has desirable stylized facts justified by empirical studies and contains all three components identified by Kyle (1985). We give conditions under which the model is arbitrage free. By considering the ...

Traders provide intermediation of two related financial assets—secured debt and the underlying collateral. Each asset is traded in its own over-the-counter trading network. Traders decide whether or not to be active in each network. We give conditions under which the financial connections between the two assets make this a game of strategic complements on two coupled networks: incentives to be ...

The profitability of banks is an important subject around the world, since banking system a vital component in any economy, thus interests many parties including investors and regulatory bodies. This study aims to shed light factors that affect Turkey across bank types using annual data for between 2004 2017. Overall, credit riskiness, funding cost GDP growth has positive effect operating negat...

We study the liquidity of global currency market by analyzing price impact trading volume. analyze a decade CLS intraday data representative foreign exchange (FX) developing refinement popular Amihud (2002) illiquidity measure that we call realized Amihud, which is ratio between volatility and Inversely related to depth, increases with transaction costs, money stress, uncertainty, risk aversion...

This paper examines how public intervention (prudential policy) in the banking area should be pursued and aims at providing points for discussion in considering what kind of system should be established to promote both the efficiency and stability of banking functions. The basic thrust of the paper is that it is effective to utilize market mechanisms to improve the efficiency of banking functio...