This paper analyzes the drivers of bond market liquidity. The use of a unique data set of global covered bonds allows to reveal three effects which have not been in the focus before: primary market supply, initial demand and allocation, and seasonality. Liquidity is elevated around the issue...

This paper finds that window dressing, bypass opportunities, market sentiment and index adjustments drive seasonal bond market liquidity effects. It uses a unique data set that combines a number of recurring event types. After controlling for other seasonal factors, liquidity is lower prior to...

This study documents that asset purchase programs can dampen market liquidity. It uses a unique dataset of global euro-denominated covered bonds, which quantitative easing has affected to a larger extent than other markets. While the start of the central bank purchases amplifies liquidity for...