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

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 …

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 …

This study analyses how liquidity risk affects bonds' yield spreads after controlling for credit risk, bond … particular, the LOT liquidity measure has explanatory power for the yield spread of green bonds. Overall, however, the impact of … LOT decreases over time, implying that, nowadays liquidity risk is negligible for green bonds. …

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 …

trading is generally beneficial to bond market liquidity, particularly so for riskier and illiquid bonds. However, we also …We examine portfolio trading and its impact on corporate bond liquidity. Our theoretical framework identifies how … show that these positive benefits do not always arise, and that it becomes a costly solution for liquidity provision when …

.58%, is attributed to other risk natures of CAT bonds. Lastly, the liquidity premium increases dramatically after occurrences …This study measures liquidity in the catastrophe (CAT) bond market and the liquidity premium embedded in CAT bond … the three most effective liquidity proxies. Given these three proxies, the average estimated liquidity premium in the CAT …

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 …

This study analyses how liquidity risk affects bonds' yield spreads after controlling for credit risk, bond … particular, the LOT liquidity measure has explanatory power for the yield spread of green bonds. Overall, however, the impact of … LOT decreases over time, implying that, nowadays liquidity risk is negligible for green bonds …