The paper provides a high-frequency analysis of liquidity dynamics in the eurozone sovereign bond market over tranquil and crisis periods. We study time series of liquidity across the yield curve using high-frequency data from MTS, one of Europe's leading electronic fixed-income trading...

Quantitative easing could improve market liquidity through many channels such as relaxing bank funding constraints, increasing risk appetite, and facilitating trades. However, it can also reduce market liquidity when the increase in the central bank's holdings of certain securities leads to a...

We study the impact of outright (i.e., permanent) open market operations (POMOs) by the Federal Reserve Bank of New York (FRBNY) on the microstructure of the secondary U.S. Treasury market. POMOs are trades in U.S. Treasury securities aimed at accomplishing the Federal Reserve's target level of...

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 detailed, quote-level dataset of the largest interdealer...

We use proprietary transactional data to examine the determinants of liquidity in the UK government bond (gilt) market, over a rich sample period that covers both the financial crisis of 2008–09 as well as the onset of the subsequent euro-zone sovereign debt crisis. During this period, gilt...

In our paper we present the most important characteristics of the forint interest rate swap market, as well as examine the determinants and the information content of the forint interest rate swap spreads. The turnover of the forint interest rate swap market has grown dynamically in recent...

We examine how investors arbitrage the Bitcoin spot and futures markets. Using intraday data of the Chicago Board Options Exchange (CBOE), we reconstruct the actual arbitrage condition that investors confront. We find that there are few arbitrage profit opportunities in “normal” markets, but...