This paper studies the drivers of primary dealers' repo activity and the effect of repo market frictions on bond market … liquidity. It separates the two tiers of the bond market, the electronic limit order book (LOB) and the over-the-counter (OTC … to borrow bonds when their inventories are depleted via executed ask limit orders. Intermediaries in electronic bond …

.g. cities, Lander, public sector entities), and its covered bond prices. We provide example results for a variety of scenarios …

bonds with higher collateral haircuts. The importance of collateral haircuts on bond yields remains robust after controlling …

The green bond market has grown strongly in recent years, especially in the euro area. With regard to the European … rapidly evolving green bond market. In addition, the effect of ECB bond purchases on yields under the corporate sector … purchase program (CSPP) and the pandemic emergency purchase program (PEPP) is examined. The analysis shows that ECB bond …

to understand the linkage between the cheapest to deliver bond and closest futures pairs by using high-frequency data on …

the recent developments and challenges in the bond and debt markets. First, we study the pricing of green bonds at …

bond market. We exploit these policy changes using a difference-in-differences strategy, with ineligible corporate green …

This article examines the joint dynamics of volatility-volume relation in the high-yield (junk) corporate bond market … easily lead to different inferences about the volatility-volume relation in the junk bond market. More specifically …

. Before the French presidential elections in 2017, the French bond spread widened together with the estimated Le Pen election …