We study how the risks to future liquidity flow across corporate bond, Treasury, and stock markets. We document … distribution “flight-to-safety” effects: a deterioration in the liquidity of high-yield corporate bonds forecasts an increase in … the average liquidity of Treasury securities and a decrease in uncertainty about the liquidity of investment …

We assess the effect of the QE2 program on the TIPS liquidity premium using a latent factor approach and a … counterfactual exercise. In the context of a state-space model for nominal and TIPS yields, we identify the TIPS liquidity premium as … the common component in TIPS yields that is unspanned by nominal yields. We then construct a counterfactual TIPS liquidity …