paper attempts to identify the determinants of yield spread of Government of India Bonds, controlling for various bond … finds that trades, trade interval, turnover, and coupon are the key determinants of yield spread in the Government of India …

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 …

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 …

credit spreads during 2002-2012: a liquidity regime and a default regime. Both regimes contribute to the patterns observed in … credit spreads. The liquidity regime seems to explain the predictive power of credit risk on the 2007-2009 NBER recession …

market liquidity over time, when dealer balance sheet utilization reaches sufficiently high levels, liquidity is much worse …

We analyze the impact of market frictions on trading volume and liquidity premia for finite maturity assets when … volume and maturity, ii) decreasing trading volume as assets age, iii) an increasing liquidity term structure when … considering ask prices, and iv) a liquidity term structure from bid prices that is decreasing or U-shaped. Empirical tests using …

We analyze the impact of market frictions on trading volume and liquidity premia of finite maturity assets when … volume and maturity, ii) lower trading volumes of older compared to younger assets, iii) an increasing liquidity term … structure when considering ask prices, and iv) a liquidity term structure from bid prices that is decreasing or U …

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 …