macroeconomic sources of time-series and cross-sectional variations in market-wide liquidity of sovereign bonds as a novelty in the … variables play a substantial role in the movements of aggregate liquidity throughout the whole sample period (1999 … inflation rate have significant informative powers on the sovereign bond market liquidity. An increasing shock to the TED spread …

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

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 …

This study analyzes how heterogenous institutional investors affect Korean Treasury bond liquidity in the over … lower liquidity. The liquidity-reducing effects of foreign investors are stronger for off-the-runs than on-the-runs and for … investment companies contribute to enhancing liquidity. Furthermore, the effect of bond holdings by domestic banks, insurance …

We study the contribution of liquidity to time-series dynamics and cross-sectional variations of Euro area sovereign … crisis. Using intraday trade and quote data we construct several alternative liquidity measures and study their contribution … to yield preads. When we control for standard risk factors, such as credit and term, liquidity does not provide a …

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 …