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

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 …

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

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

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 …

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

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 …

Value stocks have higher exposure to innovations in the nominal bond risk premium, which measures the markets … when nominal bond risk premia are low and declining, are associated with lower future dividend growth rates on value minus … growth and with lower future output growth in the short term. Because of this new nexus between stock and bond returns, a …

ill in debt markets. We develop a simple model of sovereign bond markets with global investors and endogenous information … acquisition about fundamental default probabilities. This model displays hysteresis and contagion in sovereign bond spreads. Small … fundamentals to return to more stable bond spread conditions …