Price-based liquidity metrics are better in 2013-2014 for small trades and large high-yield bond trades, but not for … relative to 2010-2012. This evidence contrasts with the widely-held view among practitioners that liquidity has worsened …-crisis liquidity could be low when markets are stressed. We consider three stress events: extreme VIX increases, extreme bond yield …

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 …

-Wicksellian model and then adds banks and a role for bonds in the liquidity management of households and banks. The Banks and Bonds …

on asset prices and financial liquidity. The theory predicts asset prices carry a speculative premium that reflects the … asset's marketability and depends on monetary policy and the market microstructure where it is traded. These liquidity …

set of assets can be partitioned into three liquidity tiers, which differ in their resalability, their prices, their … a pecuniary externality, which leads to the result that some policies commonly thought to improve liquidity can be …

We study the efficiency of dealers' liquidity provision and the desirability of policy intervention in over …' asset demands that lasts until a random recovery time. In this context, dealers can provide liquidity to outside investors …

prices and standard measures of financial liquidity, such as bid-ask spreads, trade volume, and the incentives of dealers to … monetary policy as well as the microstructure of the market where it is traded. These liquidity considerations imply a positive … anomalous. The theory also exhibits rational expectations equilibria with recurring belief driven events that resemble liquidity …

This paper studies the interaction between fundamental and liquidity for defaultable corporate bonds that are traded in … liquidity, which depends on both the firm fundamental and the time-to-maturity of the bond. Corporate default decisions interact … with the endogenous secondary market liquidity via the rollover channel. A default-liquidity loop arises: Earlier …