We construct a daily liquidity index of China’s government bond market using transaction data from the national … liquidity. The composite indexes, obtained by averaging across different metrics or by applying principal component analysis …, both point to a better liquidity condition after 2010. Market liquidity swings appear to be highly correlated with domestic …

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 …

The trading of bonds and swaps largely relies on bank dealers as core market-makers. Dealers provide liquidity and … to their market-making activities. The ongoing challenges faced in ensuring resilient provision of liquidity were also …

-mediation? We propose a measure of bond's mis-allocation among dealers and show its correlation with bond's liquidity risk which is … higher mis-allocation is associated with a higher magnitude of liquidity risk. A search-match model with dealers' endogenous …

This paper analyzes the drivers of bond market liquidity. The use of a unique data set of global covered bonds allows …, and seasonality. Liquidity is elevated around the issue dates of paper from the same issuer or the same country. Liquidity … investors with a higher propensity to trading in secondary markets. While liquidity is higher at the start of the year and …

This paper examines the propagation of volatility and liquidity shocks across major sovereign bond markets during the … autoregressive model, which captures jointly the dynamics of liquidity and volatility in the government bond markets of Belgium … that liquidity is generally the more important source of shocks transmitted across borders, and this transmission largely …

We consider the effects of quantitative easing on the liquidity of the Swedish government bonds. To capture multiple … dimensions of liquidity we use several measures built on a unique and highly granular transaction-based dataset. We find that the … Riksbank's purchases of government bonds improved liquidity, but only to a point. In fact, the deterioration in the level of …

The purpose of this paper is to determine the factors that shape the liquidity levels of euro area sovereign bonds. The … values of liquidity measure and explanatory variables were calculated from the limitorder book dataset for almost five …-sectional regression model. The results revealed that characteristics of sovereign bonds are indeed highly linked with bond liquidity …

Price-based liquidity metrics are better in 2013-2014 for small trades and large high-yield bond trades, but not for … relative to 2010-2012. This evidence contrasts with the widely-held view among practitioners that liquidity has worsened …-crisis liquidity could be low when markets are stressed. We consider three stress events: extreme VIX increases, extreme bond yield …