paper attempts to identify the determinants of yield spread of Government of India Bonds, controlling for various bond … finds that trades, trade interval, turnover, and coupon are the key determinants of yield spread in the Government of India …

Liquidity is one of the most important factors after credit risk that affects the bond yields. The paper uses various … measures of liquidity to understand their determinants in Indian sovereign bond market. The Liquidity measured by parameters … much deterioration in general market liquidity condition as RBI injected large amount of liquidity to the system within a …

are costly and basically characterized by low liquidity issues. Recently, various papers have started to analyze the … impact of liquidity on ILB yields. This paper summarizes studies concerning ILB liquidity at a glance and adds a new … estimation strategy of the liquidity premium based on Campbell & Shiller's (1996) hypothetical ILB yields. We calculate the …

market liquidity over time, when dealer balance sheet utilization reaches sufficiently high levels, liquidity is much worse …

credit spreads during 2002-2012: a liquidity regime and a default regime. Both regimes contribute to the patterns observed in … credit spreads. The liquidity regime seems to explain the predictive power of credit risk on the 2007-2009 NBER recession …

We analyze the impact of market frictions on trading volume and liquidity premia of finite maturity assets when … volumes of older compared to younger assets, iii) an increasing liquidity term structure from ask prices, iv) a decreasing or … U-shaped liquidity term structure from bid prices, and v) spill-overs of liquidity from short-term to long …

This paper studies how over-the-counter market liquidity is affected by securities lending. We combine micro-data on … program in 2008 caused a statistically and economically significant reduction in the market liquidity of corporate bonds … predominantly held by AIG. We also show that an important mechanism behind the decrease in corporate bond liquidity was a shift …