Professional Documents
Culture Documents
THIERRY FOUCAULT
MARCO PAGANO
AILSA ROELL
OXFORD
UNIVERSITY PRESS
CONTENTS
Preface xii
'-.
Introduction 1
0.1 What is This Book About? 1
0.2 Why Should We Care? 4
0.3 Some Puzzles 5
0.4 The Three Dimensions of Liquidity 8
0.4.1 Market Liquidity 8
0.4.2 Funding Liquidity 9
0.4.3 Monetary Liquidity 10
Measuring Liquidity 46
2.1 Introduction 46
2.2 Measures of the Spread 49
2.2.1 The Quoted Spread 49
2.2.2 The Effective Spread 50
CONTENTS
2.3
2.4
2.5
2.6
2.7
2.8
Contents
4.4
4.5
4.6
4.7
5
CONTENTS
Contents