Intraday Liquidity and Money Market Dislocations

The authors dedicate this work to the honored memory of Livia Amato, to whom the authors owe a great debt of gratitude for her substantial contributions to this paper. A longer working paper version of this article was circulated under the same title with additional insights on Treasury markets. Many of those are now separately included in d’Avernas et al. (2023). The authors thank Arvind Krishnamurthy, Simon Potter, Eric Fischer, Raghuram Rajan, Vincent Skiera, and Moritz Lenel for their valuable discussions as well as participants in seminars, workshops, and conferences at the University of Chicago: Booth, NYU: Stern, Duke Fuqua, UPenn: Wharton, the BI-SHoF Conference 2020, and the 2020 Macro-Finance Society Fall Meeting, the 2021 mini-symposium on Funding Markets, and 2022 Eastern Finance Association Meeting. The authors acknowledge gracious support from the Fama-Miller Center for Research in Finance. Wharton Research Data Services (WRDS) was used to prepare this article. This service and the data available thereon constitute valuable intellectual property and trade secrets of WRDS and/or its third-party suppliers.