This paper examines the dynamic relationship between credit risk and liquidity in the sovereign bond market in the … context of the European Central Bank (ECB) interventions. Using a comprehensive set of liquidity measures obtained from a … risk, as measured by the Italian sovereign credit default swap (CDS) spread, generally drive the liquidity of the market: a …

We investigate the determinants of the term structures of bond yield and market liquidity in the context of the … (JGBs) show an improvement in liquidity through the spotlight effect but also experience a deterioration in liquidity … deterioration in liquidity …

: the deterioration of bond market liquidity, the increased bond specialness on the repurchase agreement market, and the …

: the deterioration of bond market liquidity, the increased bond specialness on the repurchase agreement market, and the …

We use a unique data set from the Trade Reporting and Compliance Engine (TRACE) to study liquidity effects in the US … structured product market. Our main contribution is the analysis of the relation between the accuracy in measuring liquidity and …-specific information can be efficiently proxied by measures that use less detailed information. In addition, we analyze liquidity, in …

We investigate whether liquidity is an important price factor in the US corporate bond market. In particular, we focus … on whether liquidity effects are more pronounced in periods of financial crises, especially for bonds with high credit … range of liquidity measures and find that liquidity effects account for approximately 14% of the explained market …

We use a unique data-set to study liquidity effects in the US corporate bond market, covering more than 20,000 bonds … on the quantification of the impact of liquidity factors, while controlling for credit risk. Our time period starts in … market, and the period in between, when market conditions were more normal.We employ a wide range of liquidity measures and …

We use a unique data-set to study liquidity effects in the US corporate bond market, covering more than 20,000 bonds … on the quantification of the impact of liquidity factors, while controlling for credit risk. Our time period starts in … market, and the period in between, when market conditions were more normal.We employ a wide range of liquidity measures and …