Financial Law and Risk Control
Market Liquidity and Funding Liquidity
Markus K. Brunnermeier and Lasse Heje Pedersen
- Year
- 2009
- Venue
- Review of Financial Studies
- Level
- Advanced
Summary
Develops a model in which market liquidity and traders' funding liquidity reinforce each other. The paper explains liquidity spirals, margin constraints, flight to liquidity, and the conditions under which shocks to funding constraints can reduce market liquidity and amplify financial stress.
Citation
Markus K. Brunnermeier and Lasse Heje Pedersen. "Market Liquidity and Funding Liquidity." Review of Financial Studies, 2009.
DOI: 10.1093/rfs/hhn098
BibTeX
@article{Brunnermeier2009Market,
title = {Market Liquidity and Funding Liquidity},
author = {Markus K. Brunnermeier and Lasse Heje Pedersen},
year = {2009},
journal = {Review of Financial Studies},
doi = {10.1093/rfs/hhn098},
url = {https://doi.org/10.1093/rfs/hhn098}
}