This paper is about market liquidity risk premia in Eurozone sovereign bond spreads between 2008 and 2015. By … and market liquidity spread components in government bonds and investigate their dynamics across the Euro Area. Short … analysis to the liquidity driven bond/CDS basis to examine the proportion of systematic and idiosyncratic determinants of …

the performance of this asset class. However in that case, the fund manager faces a mismatch of liquidity between assets … and liabilities and needs some tools to manage the liquidity of his investments. The main contribution of this paper is … the analysis of contagion looking at common market liquidity problems to detect funding liquidity problems. Using the CDS …

prospect of sovereign default risk increased. This paper examines the potential spillovers between the liquidity of the … sovereign credit default swap (CDS) market and the liquidity of the sovereign bond market for a group of Eurozone countries … changes in the liquidity profiles of either market. On a general note, we show that the bond yield liquidity spreads have …

To "ensure depth and liquidity," the European Central Bank intervened in sovereign debt markets through its Securities … bond liquidity premia. From reduced-form estimates, we find robust, economically significant impact and lasting reductions … in sovereign bonds' liquidity premia in response to official purchases. We develop a search-based asset-pricing model to …

We estimate a cross-sectional model of the yield spreads of German Mittelstand bonds as a function of liquidity … for the risk of the bond. Economically, the size of the liquidity premium of Mittelstand bonds is approximately twice the … size of speculative grade US corporate bonds. Our findings are robust to different measures of liquidity and potential …

market liquidity effects. It uses a unique data set that combines a number of recurring event types. After controlling for … other seasonal factors, liquidity is lower prior to quarter ends, which is attributed to market makers' window dressing …. Seasonal liquidity effects are smaller in case investors can bypass secondary market venues, and market sentiment influences …

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 platforms. We document flight-to-liquidity effects as investors prefer to …