This paper firstly analyzes the Liquidity Enhancement Auction, which is a unique auction implemented in the Japanese … Government Bond (JGB) markets. To improve the market liquidity in the JGB market, the Ministry of Finance, Japan (MOF) uses this … auction to issue additional older bonds that lack liquidity. Our results show that this auction significantly improves the …

Treasury market liquidity is constructed, reflecting the fact that the varying measures capture different aspects of market … liquidity. The liquidity index is then correlated with various metrics of funding liquidity, volatility, and macroeconomic … conditions. The liquidity index points to poor liquidity during the 2007-09 financial crisis and around the near failure of Long …

prices and take advantage of it. Our final tests show that they alter the liquidity of their holdings when doing so may help …

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

This study shows how primary market supply influences the secondary market liquidity of outstanding bonds. Liquidity is … increases by the volume issued and decreases by the amount of similar paper outstanding. The liquidity surge is positively …

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 …

prospect of sovereign default risk increased. This paper examines the potential spillovers between the liquidity of the … sovereign credit default swap (CDS) market and the liquidity of the sovereign bond market for a group of Eurozone countries … changes in the liquidity profiles of either market. On a general note, we show that the bond yield liquidity spreads have …

To "ensure depth and liquidity," the European Central Bank intervened in sovereign debt markets through its Securities … bond liquidity premia. From reduced-form estimates, we find robust, economically significant impact and lasting reductions … in sovereign bonds' liquidity premia in response to official purchases. We develop a search-based asset-pricing model to …

We estimate a cross-sectional model of the yield spreads of German Mittelstand bonds as a function of liquidity … for the risk of the bond. Economically, the size of the liquidity premium of Mittelstand bonds is approximately twice the … size of speculative grade US corporate bonds. Our findings are robust to different measures of liquidity and potential …