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 …

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

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 …

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 …

In this paper, we present effect of the liquidity on risky bonds pricing. The liquidity effect is represented by the … adjustment to the single price format. We begin with bid-ask pricing format and it helps to observe effect of the liquidity on … each step of pricing. In the first section, we present simplified scheme when default can occur only at maturity. Next, we …

The main purpose of the paper is to define a model to estimate the liquidity risk for bonds, since very frequently … of liquidity risk are whether the bonds are listed, the default of the bond and maturity.The fitting of the model is … bond liquidity risk are: currency, exchange, issue date, maturity, coupon type, coupon, duration, yield, rating Moody …

patterns, liquidity determinants, and the liquidity premium of catastrophe bonds. We find that cat bonds are mostly traded … dealer-buy and dealer-sell trade pairs from 229 cat bonds with exogenous default risk, we find that liquidity is high for … bonds with low default risk, bonds close to maturity, and in periods of high trading activity in the overall market. Using …

We develop a dynamic general equilibrium model to analyze the optimal quantity of liquid bonds by investigating the …

In the literature, there is no consensus on a common approach to measure bond liquidity. This paper is the first to … comprehensively compare all commonly employed liquidity measures based on intraday and daily data for the U.S. corporate bond market …

Security indices are central to modern finance. Because corporate bonds trade infrequently – often less than once a … prices and take advantage of it. Our final tests show that they alter the liquidity of their holdings when doing so may help …