This paper explores liquidity movements in stock and Treasury bond markets over a period of more than 1800 trading days …. Cross-market dynamics in liquidity are documented by estimating a vector autoregressive model for liquidity (that is, bid … in one market affects the spreads in both markets, and that return volatility is an important driver of liquidity …

The issuing policy of the U.S. Treasury allows us to unambiguously isolate maturity-dependent liquidity premia in the … Treasury market. We determine and analyze three term structures of liquidity premia obtained from observed yields of coupon …. Considering liquidity premia between coupon STRIPS and Treasury notes, we surprisingly find that short-term coupon STRIPS are more …

-Wicksellian model and then adds banks and a role for bonds in the liquidity management of households and banks. The Banks and Bonds …

about the relative effects of equity volatility and bond liquidity in the cross-section of corporate bond spreads. Our tests … reveal that while both volatility and liquidity effects are significant, volatility, representing ex-ante credit shock, has … the first-order impact, and liquidity represented by bond characteristics and price impact measure has the secondary …