We propose a new class of dynamic order book models that allow us to 1) study episodes of extreme low liquidity and 2 …) unite liquidity and volatility in one framework through which their joint dynamics can be examined. Liquidity and volatility … safety as having much lower market depth, along with higher trading volume and greater price uncertainty. -- liquidity …

"We propose a broad measure of liquidity for the overall financial market by exploiting its connection with the amount … more "noise.'' As such, noise in the Treasury market can be informative and we expect this information about liquidity to … - high liquidity and low credit risk. Indeed, we find that our "noise'' measure captures episodes of liquidity crises of …

intervention, but normalizing the liquidity of other bonds required the second intervention. Liquidity measures were mostly back to …

This paper discusses the predictive role of alternative measures of the liquidity premium of TIPS relative to Treasury … bonds for government excess bond returns. The results show that the liquidity premium predicts positive (negative) TIPS … (nominal Treasury) excess returns. The explanatory power of the TIPS liquidity premium is statistically significant and …

In recent years, the liquidity of many fixed income markets has declined as banks have stepped away from their …