Treasury market liquidity is constructed, reflecting the fact that the varying measures capture different aspects of market … liquidity. The liquidity index is then correlated with various metrics of funding liquidity, volatility, and macroeconomic … conditions. The liquidity index points to poor liquidity during the 2007-09 financial crisis and around the near failure of Long …

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

) effects of the Bank of Japan (BOJ)'s JGB purchases on market liquidity. Moreover, we also find evidence that such scarcity …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 …