We use a unique data set from the Trade Reporting and Compliance Engine (TRACE) to study liquidity e ffects in the US … structured product market. Our main contribution is the analysis of the relation between the accuracy in measuring liquidity and … provide guidance for improving transparency while maintaining trader confidentiality. In addition, we analyze liquidity in the …

We use a unique data set from the Trade Reporting and Compliance Engine (TRACE) to study liquidity e ffects in the US … structured product market. Our main contribution is the analysis of the relation between the accuracy in measuring liquidity and … provide guidance for improving transparency while maintaining trader confidentiality. In addition, we analyze liquidity in the …

created a large mispricing between the market for German and Italian government bonds and their respective futures contracts … scarcity of bonds, resulting from the asset purchases, drove a wedge between the futures contracts and the underlying bonds …: the deterioration of bond market liquidity, the increased bond specialness on the repurchase agreement market, and the …

measures in determining the market liquidity for Italian government bonds. …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 …

measures in determining the market liquidity for Italian government bonds. …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 …

We use a unique data set from the Trade Reporting and Compliance Engine (TRACE) to study liquidity effects in the US … structured product market. Our main contribution is the analysis of the relation between the accuracy in measuring liquidity and …-specific information can be efficiently proxied by measures that use less detailed information. In addition, we analyze liquidity, in …

We use a unique data-set to study liquidity effects in the US corporate bond market, covering more than 20,000 bonds … shows that liquidity explains an important part of the variation in yield spreads across bonds, after accounting for credit … on the quantification of the impact of liquidity factors, while controlling for credit risk. Our time period starts in …

We use a unique data-set to study liquidity effects in the US corporate bond market, covering more than 20,000 bonds … shows that liquidity explains an important part of the variation in yield spreads across bonds, after accounting for credit … on the quantification of the impact of liquidity factors, while controlling for credit risk. Our time period starts in …

This paper documents the pricing of liquidity and identifies its drivers in the four main segments of the interbank and … pricing of credit bonds. We find that the risk-sharing channel and the macroeconomic channel have significantly influenced … liberalization shocks on foreign investment in the interbank market, on the levels of liquidity and the pricing of liquidity effects …

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 …