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Economics with Market Liquidity Risk

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  • Acharya, Viral V.
  • Pedersen, Lasse Heje

Abstract

For markets to work efficiently, buyers and sellers must be able to transact easily. People must have access to a marketplace such as a supermarket or a stock exchange with adequate liquidity. Further, people must have confidence that such a well-functioning marketplace will also exist in the future. Market liquidity risk is the risk that the market will function poorly in the future, handcuffing the “invisible hand†through which markets produce allocative efficiency. We discuss the effects of market liquidity risk on asset pricing, investment management, corporate finance, banking, financial crises, macroeconomics, monetary policy, fiscal policy, and other economic areas.

Suggested Citation

  • Acharya, Viral V. & Pedersen, Lasse Heje, 2019. "Economics with Market Liquidity Risk," Critical Finance Review, now publishers, vol. 8(1-2), pages 111-125, December.
    • Handle: RePEc:now:jnlcfr:104.00000083
    DOI: 10.1561/104.00000083
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    More about this item

    Keywords

    Liquidity risk; Asset pricing; Corporate finance; Crises; Macroeconomics; Monetary policy;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G01 - Financial Economics - - General - - - Financial Crises
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G30 - Financial Economics - - Corporate Finance and Governance - - - General
    • H12 - Public Economics - - Structure and Scope of Government - - - Crisis Management

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