A paper presented at the Federal Reserve Bank of New York conference on Central Bank Liquidity Tools, February 19 …

, liquidity risk should be priced into both instruments in such a way that buying exposure to the same default risk is identically … priced. We use a time-varying vector autoregression framework to establish the credit and liquidity spreads interactions over … countries. Our major result is that for several countries including Greece, Portugal and Ireland the liquidity of the sovereign …

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 …

differences in their level of liquidity. Those bonds with a lower daily turnover would experiment a higher volatility around the … an additional liquidity term is added and parameters are estimated by weighted least squared errors to take into account … the liquidity-induced heterokedasticity …

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 …

This paper quantifies liquidity and credit premia in German and French government bond yields. For this purpose, we …-`a-vis government bonds can be attributed to differences in liquidity premia. Adding the information on risk-free rates, we obtain model …

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 …