liquidity risk. In addition to documenting the existence of large and time-varying liquidity premia in nominal and real bond …

impact on liquidity conditions as measured by bid-ask spreads and inter-dealer order book depth. We further show that the …

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 …

This paper studies how over-the-counter market liquidity is affected by securities lending. We combine micro-data on … program in 2008 caused a statistically and economically significant reduction in the market liquidity of corporate bonds … predominantly held by AIG. We also show that an important mechanism behind the decrease in corporate bond liquidity was a shift …

consistent with the interpretation that risk-averse dealers tend to provide less liquidity to the market when facing increased … the impact of debt supply on market liquidity. …

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 …