are costly and basically characterized by low liquidity issues. Recently, various papers have started to analyze the … impact of liquidity on ILB yields. This paper summarizes studies concerning ILB liquidity at a glance and adds a new … estimation strategy of the liquidity premium based on Campbell & Shiller's (1996) hypothetical ILB yields. We calculate the …

Purchase Programme (CSPP). Did these purchases lead to a deterioration of liquidity conditions in the corporate bond market … Bundesbank's detailed CSPP purchase records with a range of liquidity indicators for both purchased and nonpurchased bonds. We … find that while the flow of purchases supported secondary market liquidity, liquidity conditions deteriorated in the long …

Price-based liquidity metrics are better in 2013-2014 for small trades and large high-yield bond trades, but not for … relative to 2010-2012. This evidence contrasts with the widely-held view among practitioners that liquidity has worsened …-crisis liquidity could be low when markets are stressed. We consider three stress events: extreme VIX increases, extreme bond yield …

We present evidence on the evolution of liquidity in the UK corporate bond market for the period 2008–2014. On the … basis of a series of widely accepted liquidity measures, we document that there is no evidence that liquidity outcomes have … become more liquid in recent years. We also document that there is little evidence that liquidity is having a larger effect …

points out that bond characteristics have a significant relation with bond liquidity. Bonds with shorter time to maturity or …

In the literature, there is no consensus on a common approach to measure bond liquidity. This paper is the first to … comprehensively compare all commonly employed liquidity measures based on intraday and daily data for the U.S. corporate bond market …

market liquidity over time, when dealer balance sheet utilization reaches sufficiently high levels, liquidity is much worse …

We examine portfolio trading and its impact on corporate bond liquidity. Our theoretical framework identifies how … trading is generally beneficial to bond market liquidity, particularly so for riskier and illiquid bonds. However, we also … show that these positive benefits do not always arise, and that it becomes a costly solution for liquidity provision when …

-bond-level transactions, we link changes in liquidity of individual U.S. corporate bonds to dealers’ transaction activity and balance sheet …

-bond-level transactions, we link changes in liquidity of individual U.S. corporate bonds to dealers' transaction activity and balance sheet …