We use a unique data set from the Trade Reporting and Compliance Engine (TRACE) to study liquidity e ffects in the US structured product market. Our main contribution is the analysis of the relation between the accuracy in measuring liquidity and the potential degree of disclosure. Having access...

The London Interbank Offered Rate (Libor) and the Euro Interbank Offered Rate (Euribor) are two key market benchmark interest rates used in a plethora of financial contracts with notional amounts running into the hundreds of trillions of dollars. The integrity of the rate-setting process for...

We empirically study whether systematic over-the-counter (OTC) market frictions drive the large unexplained common factor in yield spread changes. Using transaction data on U.S. corporate bonds, we find that marketwide inventory, search, and bargaining frictions explain 23.4% of the variation of...

We empirically study non-traded bonds (NTB). We show that NTB offerings are driven by a firm-demand channel: firms issue NTB in expectation of future demand for deleveraging. NTB offerings therefore predict firms' future deleveraging activity, which happens through repurchasing NTB. We establish...

This paper empirically studies the role of fiscal constraints for disaster vulnerability and investment decisions in a global sample of firms. We build novel firm-level measures of exposure to fiscal constraints based on the sales distributions of firms across countries. This approach allows us...