Market Freezes

We thank Luis Araujo, Daniela Puzzello and Shengxing Zhang for useful comments or conversations, and Philip Coyle for excellent research assistance. Gu acknowledges financial support from Hong Kong Institute for Monetary and Financial Research. Wright acknowledges support from the Ray Zemon Chair in Liquid Assets, and the Kenneth Burdett Chair in Search Theory and Applications, at the Wisconsin School of Business. The Federal Reserve Bank of Minneapolis also provided support. This paper represents the views of the authors, which are not necessarily the views of the Hong Kong Monetary Authority, Hong Kong Institute for Monetary and Financial Research, or its Board of Directors or Council of Advisers.The views expressed are those of the authors and not those of the Bank of Canada, the Federal Reserve Bank of Minneapolis, the Federal Reserve System, or the National Bureau of Economic Research.