is most needed. We examine bond correlation using a broad sample of US corporate bonds. We find bond correlation to be …

The sovereign's intention to issue inflation-linked bonds (ILB) is to save money. More than 15 years' experience with … this financial instrument in the United States and in several other countries has led to the conclusion that these bonds … are costly and basically characterized by low liquidity issues. Recently, various papers have started to analyze the …

This paper studies how market-wide credit risk affects the liquidity pricing in the bond market. With the emerging wave … pronounced among the non-SOE bonds and low-rated bonds. Our evidence suggests that breaking the expectation of rigid redemption … increases the effectiveness of price discovery in China's capital market. As liquidity concern starts to play a nontrivial role …

Based on an empirical analysis of European corporations, we investigate the impact of sovereign risk on the pricing of … corresponding corporate CDS spreads and are a significant factor for corporate CDS pricing models. We also find that this impact …

Market liquidity and market making – the case of fixed income and low interest rates Market liquidity has received a … lot of attention lately, especially in fixed-income markets. This paper studies the determinants of market liquidity in a …, market makers provide liquidity to the market, which they are compensated for through the difference between the prices at …

dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …

This study analyses how liquidity risk affects bonds' yield spreads after controlling for credit risk, bond … particular, the LOT liquidity measure has explanatory power for the yield spread of green bonds. Overall, however, the impact of … LOT decreases over time, implying that, nowadays liquidity risk is negligible for green bonds. …

Price-based liquidity metrics are better in 2013-2014 for small trades and large high-yield bond trades, but not for … relative to 2010-2012. This evidence contrasts with the widely-held view among practitioners that liquidity has worsened …-crisis liquidity could be low when markets are stressed. We consider three stress events: extreme VIX increases, extreme bond yield …