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Liquidity of China’s Government Bond Market : Measures and Driving Forces
Han, Gaofeng; Miao, Hui; Wang, Yabin - 2021
We construct a daily liquidity index of China’s government bond market using transaction data from the national … liquidity. The composite indexes, obtained by averaging across different metrics or by applying principal component analysis …, both point to a better liquidity condition after 2010. Market liquidity swings appear to be highly correlated with domestic …
Persistent link: https://www.econbiz.de/10013237379
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The impact of liquidity on in ation-linked bonds : a hypothetical indexed bonds approach
Auckenthaler, Julia; Kupfer, Alexander; Sendlhofer, Rupert - 2014
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 …
Persistent link: https://www.econbiz.de/10010251196
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The scarcity value of Treasury collateral : repo market effects of security-specific supply and demand factors
D'Amico, Stefania; Fan, Roger; Kitsul, Yuriy - 2013
In the repo market, forward agreements are security-specific (i.e., there are no deliverable substitutes), which makes it an ideal place to measure the value of fluctuations in a security's available supply. In this study, we quantify the scarcity value of Treasury collateral by estimating the...
Persistent link: https://www.econbiz.de/10010221462
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The Scarcity Value of Treasury Collateral : Repo Market Effects of Security-Specific Supply and Demand Factors
D'Amico, Stefania - 2013
In the repo market, forward agreements are security-specific (i.e., there are no deliverable substitutes), which makes it an ideal place to measure the value of fluctuations in a security's available supply. In this study, we quantify the scarcity value of Treasury collateral by estimating the...
Persistent link: https://www.econbiz.de/10013071782
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The price of money : now collateral policy affects the yield curve
Nyborg, Kjell G.; Woschitz, Jiri - 2021
Central-bank collateral policy governs the convertibility of assets into central-bank money provided directly by the central bank. Focusing on government bonds, we develop clean identification of variation in such convertibility by exploiting differential treatment of same-country government...
Persistent link: https://www.econbiz.de/10012799625
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The Scarcity Value of Treasury Collateral : Repo Market Effects of Security-Specific Supply and Demand Factors
D'Amico, Stefania - 2015
In the special collateral repo market, forward agreements are security-specific, which may magnify demand and supply effects. We quantify the scarcity value of Treasury collateral by estimating the impact of security-specific demand and supply factors on the repo rates of all outstanding U.S....
Persistent link: https://www.econbiz.de/10013032735
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The Scarcity Value of Treasury Collateral : Repo Market Effects of Security-Specific Supply and Demand Factors
D'Amico, Stefania - 2014
In the special collateral repo market, forward agreements are security-specific, which may magnify demand and supply effects. We quantify the scarcity value of Treasury collateral by estimating the impact of security-specific demand and supply factors on the repo rates of all outstanding U.S....
Persistent link: https://www.econbiz.de/10013061905
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Dealer capacity and U.S. treasury market functionality
Duffie, Darrell; Fleming, Michael J.; Keane, Frank; … - 2023 - Revised October 2023
market liquidity over time, when dealer balance sheet utilization reaches sufficiently high levels, liquidity is much worse …
Persistent link: https://www.econbiz.de/10014393396
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How important is liquidity risk for sovereign bond risk premia? : evidence from the London Stock Exchange
Alquist, Ron (contributor) - 2008
This paper uses the framework of arbitrage-pricing theory to study the relationship between liquidity risk and … proposition that liquidity risk affects the price of sovereign debt. This period was the last time that the debt of a … reflected in greater sensitivity to innovations in market liquidity. Second, small sovereign bonds, as measured by market value …
Persistent link: https://www.econbiz.de/10003790566
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Central bank purchases of government bonds
Huber, Samuel; Kim, Jaehong - 2015
We develop a dynamic general equilibrium model to analyze the effects of central bank purchases of government bonds by investigating the following three questions: Under what conditions are these purchases socially desirable, what incentive problems do they mitigate, and how large are these...
Persistent link: https://www.econbiz.de/10011389605