This work uses financial markets connected by arbitrage relations to investigate the dynamics of price and liquidity … discovery, which refer to the cross-instrument forecasting power for prices and liquidity, respectively. Specifically, we seek … the liquidity discovery induced by the COVID-19 pandemic. Within a cointegration model, we find that price discovery …

segments that are both government guaranteed but differ in their liquidity. We show that its characteristics strongly depend on … depend on inventory risk, short maturities are highly sensitive to liquidity preferences (flight-to-liquidity). Therefore … liquidity ; term structure of illiquidity premiums ; regime-switching ; financial crisis ; flight-to-liquidity …

We develop a credit-risk model to study how information acquisition affects the liquidity in a secondary bond market …

This paper examines the effects of bond liquidity on firms' investments. We postulate that bond liquidity increases … variation in liquidity generated by the introduction of TRACE, we find that bond liquidity enables firms to expand capital … expenditures and acquisition activity. Furthermore, by enhancing access to funding, bond liquidity facilitates acquisition …

We employ a proprietary transaction-level dataset in Germany to examine how capital requirements affect the liquidity … gap - aggregate liquidity declines. Our results are stronger for banks with a higher capital shortfall, for noninvestment …