banks had a large impact on exposed bonds' liquidity. Moreover, based on these ties, we show that bond mutual fund panic …We explore the ties between bonds and individual dealers formed through home advantage and the persistence of previous …

and NGEU initiatives helped improve EU bonds' market liquidity from previously low levels, also reducing liquidity risk … premia. Eurosystem purchases and holdings of EU bonds did not impair market liquidity. Currently, one obstacle to EU bonds … bonds issued by the European Union (EU) are widely considered to be of high credit quality, and that their yield spread over …

We consider the effects of quantitative easing on liquidity and prices of bonds in a search- and matching model. The …-off. Initially, liquidity improves in reaction to central bank demand. As the central bank buys and holds bonds, supply becomes … a decline in yields, while they have opposite effects on market liquidity. This results in a price-liquidity trade …

This paper investigates the relationship between central bank (reverse) auctions and bill market liquidity. The …

subordinated bond yield spreads over senior unsecured bonds, and links the bond yields developments with the characteristics of the … reduction of the yields of bonds issued by banks not categorized as GSIBs, and not by significant increases in the GSIBs' bond …

This paper proposes a set of indicators relevant for the risk characteristics of covered bonds, as based on granular … comparability across covered bonds issued by different issuers and rated by different credit rating agencies. The availability of …

on the embedded in ation risk premium of issuing nominal debt, appears to be eroded by the liquidity premium charged by …

returns in a sample of US mutual funds. We find evidence of active rebalancing towards government bonds that offer relatively … government debt securities, mainly at the expenses of euro-denominated ones. Our results imply that deviations in pricing … conditions like uncovered and covered interest parity for sovereign bonds affect capital flows from the United States towards …

This paper investigates the efficiency of various monetary policy instruments to stabilize asset prices in a liquidity … dynamics. Increasing the supply of reserves reduces liquidity risk in the traditional banking sector, but fails to reach the …