following three questions: Under what conditions is it socially desirable to contract the bond supply, what incentive problems … are mitigated by doing this, and how large are the effects? We show that reducing the bond supply induces agents to … effect fails for high inflation rates, because agents hold so little money in the first place that manipulating the bond …

following three questions: Under what conditions is it socially desirable to contract the bond supply, what incentive problems … are mitigated by doing this, and how large are the effects? We show that reducing the bond supply induces agents to … effect fails for high inflation rates, because agents hold so little money in the first place that manipulating the bond …

This work uses financial markets connected by arbitrage relations to investigate the dynamics of price and liquidity … discovery, which refer to the cross-instrument forecasting power for prices and liquidity, respectively. Specifically, we seek … to understand the linkage between the cheapest to deliver bond and closest futures pairs by using high-frequency data on …

-mediation? We propose a measure of bond's mis-allocation among dealers and show its correlation with bond's liquidity risk which is …Which corporate bond's yield is more exposed to search frictions? Is the exposure correlated with dealers' inter … bond and their corresponding inventory positions. Using a transaction-level dataset on U.S. corporate bonds, we verify: a …

In out-of-sample trading tests, combined trading strategies based on the bond value model is able to raise the Sharpe …). The paper also shows the bond value model to be robust against data revisions in the US. The paper includes tests of the … itself and in combination with the value models and finds no benefit. The paper provides evidence of the bond value model …

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 …

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 …

We propose a novel measure of bond market liquidity that does not depend on transaction data: the strength of the cross … portfolio holdings to be at a given point in time. The perceived liquidity of speculative grade and Rule 144A bonds is …

different borrowers that is distinct from the standard metrics gleaned from bond yields or credit-default swaps. As such, while …

This study shows how primary market supply influences the secondary market liquidity of outstanding bonds. Liquidity is … higher around new bond issuance by the same issuer and in the same maturity segment. It rises once the new issue is priced … increases by the volume issued and decreases by the amount of similar paper outstanding. The liquidity surge is positively …