is most needed. We examine bond correlation using a broad sample of US corporate bonds. We find bond correlation to be …

The sovereign's intention to issue inflation-linked bonds (ILB) is to save money. More than 15 years' experience with … this financial instrument in the United States and in several other countries has led to the conclusion that these bonds … are costly and basically characterized by low liquidity issues. Recently, various papers have started to analyze the …

Based on an empirical analysis of European corporations, we investigate the impact of sovereign risk on the pricing of … corresponding corporate CDS spreads and are a significant factor for corporate CDS pricing models. We also find that this impact …

Market liquidity and market making – the case of fixed income and low interest rates Market liquidity has received a … lot of attention lately, especially in fixed-income markets. This paper studies the determinants of market liquidity in a …, market makers provide liquidity to the market, which they are compensated for through the difference between the prices at …

dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …

This study analyses how liquidity risk affects bonds' yield spreads after controlling for credit risk, bond … particular, the LOT liquidity measure has explanatory power for the yield spread of green bonds. Overall, however, the impact of … LOT decreases over time, implying that, nowadays liquidity risk is negligible for green bonds. …

Price-based liquidity metrics are better in 2013-2014 for small trades and large high-yield bond trades, but not for … relative to 2010-2012. This evidence contrasts with the widely-held view among practitioners that liquidity has worsened …-crisis liquidity could be low when markets are stressed. We consider three stress events: extreme VIX increases, extreme bond yield …

The trading of bonds and swaps largely relies on bank dealers as core market-makers. Dealers provide liquidity and … bonds and swaps currently traded and how liquid are these markets?, (2) how do the structural changes affect the dealer … to their market-making activities. The ongoing challenges faced in ensuring resilient provision of liquidity were also …

banks had a large impact on exposed bonds' liquidity. Moreover, based on these ties, we show that bond mutual fund panic …We explore the ties between bonds and individual dealers formed through home advantage and the persistence of previous …