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Liquidity Mismatch Measurement

23 Pages Posted: 19 Dec 2014

See all articles by Markus K. Brunnermeier

Markus K. Brunnermeier

Princeton University - Department of Economics

Arvind Krishnamurthy

Northwestern University - Kellogg School of Management

Gary B. Gorton

Yale School of Management; National Bureau of Economic Research (NBER); Yale University - Yale Program on Financial Stability

Date Written: March 12, 2013

Abstract

The purpose of this paper is to examine the measurement of liquidity in light of the academic research on liquidity. We present a theoretical liquidity measure, informed by the academic literature on liquidity, and analyze its benefits in terms of assessing liquidity risk both from a firm and macro-prudential perspective.

Keywords: Liquidity, liquidity mismatch

JEL Classification: E44

Suggested Citation

Brunnermeier, Markus Konrad and Krishnamurthy, Arvind and Gorton, Gary B., Liquidity Mismatch Measurement (March 12, 2013). Available at SSRN: https://ssrn.com/abstract=2539659 or http://dx.doi.org/10.2139/ssrn.2539659

Markus Konrad Brunnermeier

Princeton University - Department of Economics ( email )

Bendheim Center for Finance
Princeton, NJ
United States
609-258-4050 (Phone)
609-258-0771 (Fax)

HOME PAGE: http://www.princeton.edu/¡­markus

Arvind Krishnamurthy

Northwestern University - Kellogg School of Management ( email )

2001 Sheridan Road
Evanston, IL 60208
United States
847-491-2671 (Phone)
847-491-5719 (Fax)

Gary B. Gorton (Contact Author)

Yale School of Management ( email )

165 Whitney Ave
P.O. Box 208200
New haven, CT 06511
United States

HOME PAGE: http://mba.yale.edu/faculty/profiles/gorton.shtml

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Yale University - Yale Program on Financial Stability

165 Whitney Avenue
P.O. Box 208200
New Haven, CT 06520-8200
United States

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