We interpret the yield spread between Japanese government-guaranteed bonds and government bonds as market liquidity …, which we refer to as the J-liquidity measure. Our model-free approach not only provides the term structure of the liquidity …. We empirically show that the long-term factor of the liquidity premium curve is driven by the volatility of the short …

This study uses high-frequency data to examine the impact of Bitcoin futures trading on volatility and liquidity of the … becomes more liquid in the post-futures trading period. The results are robust to different volatility and liquidity proxies … volatility and improving the spot market liquidity …

We measure market liquidity for large-sized orders in the ten-year treasury futures market estimating mean …

spreads, and corporate bond liquidity spreads in a unified no-arbitrage framework. Four economic factors, monetary conditions …. During the pre-crisis period, volatility shocks decrease Treasury yields and widen both credit spreads and liquidity spreads … and real output become significant as well. Ignoring the liquidity component of corporate yield spreads is shown to lead …

We present an integrated framework incorporating both exogenous liquidity risk in the secondary corporate bond market … values from empirical studies that volatility risk, together with deteriorating bond market liquidity, decrease both debt and …

poorer credit ratings and financial positions. An inferred recovery rate, after controlling for liquidity effects, is also …

Research on electricity futures markets has to date not explored the role that market liquidity may play in determining … risk premia. Further, no detailed empirical examination of both liquidity and risk premia in the New Zealand electricity … find that liquidity has been gradually increasing and that a policy intervention to impose a maximum bid-offer spread was …

information channels): when liquidity providers face higher funding constraints, liquidity spillovers across assets increase …Liquidity spillovers -- i.e., the transmissions of liquidity shocks from one asset to another -- are an important yet … not fully understood feature of price formation in financial markets. In this paper, I examine liquidity spillovers across …

correlate positively to calendar spread liquidity and constraints on intermediation capital. The strategy delivers low … risk. This rebalancing creates predictable demand for liquidity. We also apply the strategy to a group of commodities not …