We analyze the impact of market frictions on trading volume and liquidity premia of finite maturity assets when … volume and maturity, ii) lower trading volumes of older compared to younger assets, iii) an increasing liquidity term … structure when considering ask prices, and iv) a liquidity term structure from bid prices that is decreasing or U …

This paper examines the dynamic relationship between credit risk and liquidity in the sovereign bond market in the … context of the European Central Bank (ECB) interventions. Using a comprehensive set of liquidity measures obtained from a … risk, as measured by the Italian sovereign credit default swap (CDS) spread, generally drive the liquidity of the market: a …