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 …

We study the contribution of liquidity to time-series dynamics and cross-sectional variations of Euro area sovereign … crisis. Using intraday trade and quote data we construct several alternative liquidity measures and study their contribution … to yield preads. When we control for standard risk factors, such as credit and term, liquidity does not provide a …

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 …

The issuing policy of the U.S. Treasury allows us to unambiguously isolate maturity-dependent liquidity premia in the … Treasury market. We determine and analyze three term structures of liquidity premia obtained from observed yields of coupon …. Considering liquidity premia between coupon STRIPS and Treasury notes, we surprisingly find that short-term coupon STRIPS are more …

This paper examines the role of the liquidity in the pricing of sovereign U.S. dollar bonds in emerging markets. We … extend Acharya and Pedersen's (2005) liquidity-adjusted capital asset pricing model to the bond market and find that both … liquidity level and multiple liquidity risks are priced factors for the expected excess return of U.S. dollar bonds issued by …

Liquidity is one of the most important factors after credit risk that affects the bond yields. The paper uses various … measures of liquidity to understand their determinants in Indian sovereign bond market. The Liquidity measured by parameters … much deterioration in general market liquidity condition as RBI injected large amount of liquidity to the system within a …