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 …

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 …

order to conserve scarce liquidity. Even in the era of large central bank balance sheets, rather than funding payments with … on liquidity constraints revealed by payment behavior, our results shed light on thresholds for the adequacy of reserve …

Treasury bills and other near-money assets provide owners with liquidity service benefits that are reflected in prices … in the form of a liquidity premium. I relate time variation in this liquidity premium to changes in the opportunity cost … of money: The liquidity service benefits of near-money assets are more valuable when short-term interest rates are high …

authority of Japan because it has accumulated the debt outstanding much more than other countries …The purpose of this paper is to analyze sustainability issues of Japan's fiscal policy and then to discuss the debt …

"narrow" liquidity channels. YCC seemingly worked well in 2020 while the market expected short rates to stay at zero for long …