We propose a novel measure of bond market liquidity that does not depend on transaction data: the strength of the cross … portfolio holdings to be at a given point in time. The perceived liquidity of speculative grade and Rule 144A bonds is … significantly lower than investment grade bonds in the cross section and deteriorated significantly following the 2008-9 financial …

We analyze the effect of the US Federal Reserve's monetary policy on EME sovereign and corporate bond markets by … focusing on two dimensions: the evolution of the structure (size and currency composition) of the bond markets and their … allocations within the bond portfolios of US investors. Global factors, particularly the level of long-term US Treasury yields …

Price-based liquidity metrics are better in 2013-2014 for small trades and large high-yield bond trades, but not for … large investment grade bond trades, relative to before the crisis, and are better for all bond types and trade sizes …-crisis liquidity could be low when markets are stressed. We consider three stress events: extreme VIX increases, extreme bond yield …

I propose an implementation of the q-theory of investment using bond prices instead of equity prices. Credit risk makes … corporate bond prices sensitive to future asset values, and q can be inferred from bond prices. The bond market's q performs …

and bonds. Since the mid-1990s, the Fed-induced reductions in both risk premium sources have generated high average stock … returns but an ambiguous response in bonds on FOMC days …

This paper uses the factor augmented regression framework to analyze the relation between bond excess returns and the … statistically significant predictive power for excess bond returns. We show how a bias correction to the parameter estimates of … real activity for excess bond returns is robust even after accounting for finite sample inference problems. Forecasts of …

defaults tighten home bond prices because they lower lenders' payoffs. Foreign defaults make home default less costly by …

For over two centuries, the municipal bond market has been a source of systemic risk, which returned early in the Covid … difficult to borrow at all. Indeed, just before the Fed announced its unprecedented intervention into the municipal (muni) bond … government bonds at normal ratings-based interest rate spreads over Treasury bonds plus a fee of 100 basis points, later reduced …