Liquidity is one of the most important factors after credit risk that affects the bond yields. The paper uses various … measures of liquidity to understand their determinants in Indian sovereign bond market. The Liquidity measured by parameters … much deterioration in general market liquidity condition as RBI injected large amount of liquidity to the system within a …

We present findings on the secondary market liquidity of government and covered bonds in Denmark before, during and … markets but the government bond market experienced a brief but pronounced decline in market liquidity while liquidity in the … autumn of 2008. After the crisis, liquidity in the government bond market quickly rebounded and government bonds again became …

find that on-the-run status has only a negligible effect on the liquidity and pricing once other factors have been … market, leads to significant liquidity spillovers. Specifically, we find that bonds which are deliverable into futures …

Treasury securities normally possess unparalleled safety and liquidity and, consequently, carry a money premium. We use … the money premium, safety, and liquidity. Our results shed light on Treasury market dynamics specifically, and debt more …. Meanwhile, changes in liquidity only affected the money premium during the impasses. Next, we show that Treasury safety and …

We provide a theoretical model for funding liquidity that extends the literature by allowing financial institutions to … raise short-term unsecured funding in addition to secured funding. We identify a new liquidity spiral, a credit limit spiral …

reduced-form models can explain sovereign spreads, while, consistent with flights to liquidity, illiquidity risk is relevant … particularly important during periods of market stress. These flights to liquidity are substantially more prominent at the shorter … that incorporate flights to liquidity need to be expanded to include the impact of such flights on both the level and slope …

This paper firstly analyzes the Liquidity Enhancement Auction, which is a unique auction implemented in the Japanese … Government Bond (JGB) markets. To improve the market liquidity in the JGB market, the Ministry of Finance, Japan (MOF) uses this … auction to issue additional older bonds that lack liquidity. Our results show that this auction significantly improves the …