This paper examines the dynamic relationship between credit risk and liquidity in the sovereign bond market in the … context of the European Central Bank (ECB) interventions. Using a comprehensive set of liquidity measures obtained from a … risk, as measured by the Italian sovereign credit default swap (CDS) spread, generally drive the liquidity of the market: a …

To "ensure depth and liquidity," the European Central Bank intervened in sovereign debt markets through its Securities … bond liquidity premia. From reduced-form estimates, we find robust, economically significant impact and lasting reductions … in sovereign bonds' liquidity premia in response to official purchases. We develop a search-based asset-pricing model to …

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 …

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 …

liquidity risk. In addition to documenting the existence of large and time-varying liquidity premia in nominal and real bond …

impact on liquidity conditions as measured by bid-ask spreads and inter-dealer order book depth. We further show that the …

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