We investigate the determinants of the term structures of bond yield and market liquidity in the context of the … Quantitative Easing (QE) programs implemented by the Bank of Japan. Between 2011 and 2016, we find that Japanese government bonds … (JGBs) show an improvement in liquidity through the spotlight effect but also experience a deterioration in liquidity …

, concerns about the market liquidity of the Eurozone sovereign debt markets have been raised. We aim to quantify illiquidity … risks, especially such related to liquidity dry-ups, and illiquidity spillover across maturities by examining the reaction … processes. We find that: a) market liquidity is more fragile and less predictable when an asset is very illiquid and, b) the …

This paper examines the dynamic relationship between credit risk and liquidity in the sovereign bond market in the … context of the European Central Bank (ECB) interventions. Using a comprehensive set of liquidity measures obtained from a … risk, as measured by the Italian sovereign credit default swap (CDS) spread, generally drive the liquidity of the market: a …

-opening period contributes to market quality, defined by price discovery and liquidity provision, in the opening auction. We use a …

liquidity risks. The proposed methodology is based on quantile regressions and considers the movements of CDS Industrial Sector … indexes and the market risk factor to identify the impact of market liquidity risk and market credit risk in the different US … lower impact, we also find that market risk and interest rate risk are also common factors, as well as liquidity risk. These …

We study the impact of transparency on liquidity in OTC markets. We do so by providing an analysis of liquidity in a … the U.S., the determinants of German corporate bond liquidity are in line with search theories of OTC markets. Third ….S. Our results support the notion that, while market liquidity is generally higher in transparent markets, a subset of bonds …

Banks can deal with their liquidity risk by holding liquid assets (self-insurance), by participating in interbank … to show that undiversi fiable liquidity risk, i.e. the liquidity risk that banks are unable to coinsure on interbank … liquidity risk hold more capital. We posit that empirically banks that are more exposed to undiversifi able liquidity risk are …