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

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 …

I propose an implementation of the q-theory of investment using bond prices instead of equity prices. Credit risk makes … corporate bond prices sensitive to future asset values, and q can be inferred from bond prices. The bond market's q performs …

For over two centuries, the municipal bond market has been a source of systemic risk, which returned early in the Covid … difficult to borrow at all. Indeed, just before the Fed announced its unprecedented intervention into the municipal (muni) bond … of the MLF could undermine the efficiency of the bond market if the facility lasts too long and could induce moral hazard …

This paper tests several competing models of municipal bond market equilibrium. It analyzes the influence of changes in …

the bond and repurchase, so that future capital losses may be realized short term; and raising the basis through sale of … the bond and repurchase in order to deduct from ordinary income the amortized premium. Because of the interaction of these … substantially from the buy-and-hold policy irrespective of whether the bondholder is a bank, a bond dealer, or an individual. We …

We examine whether there is a flight-to-liquidity premium in Treasury bond prices by comparing them with prices of …

implications of this finding for asset prices. The uncovered dynamics of consumption implies modestly upward sloping real bond and …