We study the response of bond spreads to a liquidity supply shock in the credit default swap (CDS) market. Our … transactions and bond portfolio holdings of German investors. Following the shock, CDS market liquidity declines and bond spreads … a mechanism: as CDS insurance on their bond holdings becomes costlier, investors offload the bonds. Our results …

This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other …

in bond markets. Asset purchase policies are not without side effects, though, as the induced scarcity has an adverse …

During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could …-variations in the relationship between systematic risk factors and corporate bond spreads. First, we apply Bayesian model averaging …