The most recent global financial crisis, characterized as a liquidity crunch, began in the U.S. in late 2007 and … quickly spread to other countries. The rapid propagation of the liquidity shock and the severe effects of the crisis on stock … market performance have raised several important questions. Which channels contributed to the transmission of liquidity …

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 …

This paper explores liquidity movements in stock and Treasury bond markets over a period of more than 1800 trading days …. Cross-market dynamics in liquidity are documented by estimating a vector autoregressive model for liquidity (that is, bid … in one market affects the spreads in both markets, and that return volatility is an important driver of liquidity …

We investigate the determinants of the term structures of bond yield and market liquidity in the context of the … (JGBs) show an improvement in liquidity through the spotlight effect but also experience a deterioration in liquidity … deterioration in liquidity …

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

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