We propose a novel measure of bond market liquidity that does not depend on transaction data: the strength of the cross …

important factor contributing to the credit cycle. This paper presents a detailed study of this phenomenon in the corporate bond … of bond and issuer controls, including bond liquidity and duration, and issuer fixed effects. This behavior is related to …

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 …

We examine empirically how the maturity structure of government debt affects bond yields and excess returns. Our …

follow simple time-series processes whose parameters can be estimated from the cross-section of bond prices. The extracted …

We analyze reallocations within the international bond portfolios of US investors. The most striking empirical … economic growth. We also provide a descriptive analysis of global bond markets' structure and returns …

debt by encouraging bond issues to contain call features. Are the interest rate effects associated with these policies …

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 …

We show that bond risk-premia rise with uncertainty about expected inflation and fall with uncertainty about expected … inflation. The model simultaneously accounts for bond return predictability and violations of uncovered interest parity in …