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 …

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

We evaluate the effects of three ECB policies (the Securities Markets Programme, the Outright Monetary Transactions …, and the Long-Term Refinancing Operations) on government bond yields. We use a novel Kalman-filter augmented event … rates to understand the channels through which policies reduced sovereign bond yields. On average across Italy, Spain and …

portfolio rebalancing during the European Central Bank's (ECB) purchase programme that started in March 2015. To quantify …% of ECB purchases are sold by non-euro area investors, and we do not find evidence that risks get concentrated in certain …

changed from positive to negative. A change in the comovement between inflation and the output gap explains changing bond …

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 …