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 …

: the deterioration of bond market liquidity, the increased bond specialness on the repurchase agreement market, and 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 …

: the deterioration of bond market liquidity, the increased bond specialness on the repurchase agreement market, and the …

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 …