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 …

Treasury securities normally possess unparalleled safety and liquidity and, consequently, carry a money premium. We use … the money premium, safety, and liquidity. Our results shed light on Treasury market dynamics specifically, and debt more …. Meanwhile, changes in liquidity only affected the money premium during the impasses. Next, we show that Treasury safety and …

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 …

assets are likely to serve as media of exchange or collateral (a definition of liquidity often employed in monetary theory …), or that they can be easily sold in a secondary market, if needed (a definition of liquidity closer to the one adopted in … finance)? We develop a model where these two notions of asset liquidity coexist, and their relative importance is determined …

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

incorporate to stock market modeling to prove the hypothesized the effectiveness of monetary policy on stock market liquidity in …

risk-bearing capacity. Interestingly, we find significant changes in the composition of liquidity providers: hedge funds … buy a large share of the new issue outside pre-MPC windows, but refrain from liquidity provision in pre-MPC windows, and …

This paper explores the relationship between market liquidity and market return around scheduled Federal Open Market … Committee (FOMC) meetings. We document that market liquidity on the day prior to the announcement contains useful information to … predict the post-FOMC announcement return, which is positive (negative), on average, when liquidity is low (high). Our …