to intermediate bond markets, as in March 2020. Although yield volatility explains most of the variation in Treasury … market liquidity over time, when dealer balance sheet utilization reaches sufficiently high levels, liquidity is much worse … than predicted by yield volatility alone. This is consistent with the existence of occasionally binding constraints on the …

liquid instrument suffers from liquidity shocks that induce periods of increased volatility and significant return …Futures contracts on the New York Mercantile Exchange are the most liquid instruments for trading crude oil, which is … their historical limits, counterparties for trades become scarce and prices must adjust to induce trade. These liquidity …

We develop a model of the illiquidity transmission from spot to futures markets that formalizes the derivative hedge … futures market, but rather interacts with price risk, liquidity risk, and the risk aversion of the market maker. The … liquidity link between spot and futures markets. Our results provide no evidence in favor of the substitution hypothesis. …

We develop a model of illiquidity transmission from spot to futures markets that formalizes the derivative hedge theory … support our model and show that the derivative hedge theory provides an explanation for the liquidity link between spot and … of Cho and Engle (1999). The model shows that spot market illiquidity does not translate one to one to the futures market …

from high-frequency (5-minute) returns on 30 year Treasury bond futures. Implied volatility is backed out from prices of … rates. -- Bipower variation ; bond futures options ; HAR ; Heterogeneous Autoregressive Model ; implied volatility ; jumps …We study the relation between realized and implied volatility in the bond market. Realized volatility is constructed …

. Such requirements increase with both market volatility and default; consequently, CCP liquidity needs are inherently …. Moreover, although they mitigate credit risk, CCPs create liquidity risks, because they rely on participants to provide cash … financial institutions default. Liquidity-focused macroprudential stress tests could help to assess and manage this systemic …

management in the commodities market. A transaction tax (of 0.01 per cent) on commodity futures trading was introduced in the … imposition on the total volume traded of a few select commodity futures as well as on the overall efficiency of the commodity … market. Results for the event study suggest a significant drop in traded volumes of commodity futures such as gold, copper …