We study how the risks to future liquidity flow across corporate bond, Treasury, and stock markets. We document … distribution “flight-to-safety” effects: a deterioration in the liquidity of high-yield corporate bonds forecasts an increase in … the average liquidity of Treasury securities and a decrease in uncertainty about the liquidity of investment …

liquidity dynamics are generally consistent with the theory of the information sensitivity of debt …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 …

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 …

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

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

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 …

of the announcement. By lowering credit spreads and improving liquidity, the April 9 announcement had an especially …

. By lowering credit spreads and improving liquidity, the April 9 announcement had an especially pronounced effect on …

. By lowering credit spreads and improving liquidity, the April 9 announcement had an especially pronounced effect on …