This paper draws on a unique data set on the nontraditional systemic liquidity easing measures recently undertaken by …

quantifies the classic liquidity effect, but also uncovers a liquidity distribution effect on both sides of the market, and shows … liquidity effect …

sovereign yields are linked together through credit risks and liquidity premiums. Consequently, high sovereign risks may …

This paper examines the drivers of liquidity shortages in the Mexican government bond market. We use unique transaction …- and quote level data with information on end-investors to construct an index of bond market liquidity. We find that … liquidity remained stable in recent years, although temporary shortages arose amid domestic and global market stress. The …

reveals inconsistency between theory and practice in pricing CDS spreads in EM. This note suggests an alternate methodology …

This paper constructs new indicators of liquidity for equity, bond and money markets in major advanced and emerging … evidence of an historical increase in market liquidity since the early 1990s, in part as a result of advances in international … financial integration, but markets have been increasingly exposed to global systemic liquidity shocks. Second, liquidity …

. Liquidity stress tests have been applied in parallel to and independently from solvency stress tests, based on scenarios which … testing of solvency and liquidity: our approach exploits the mechanisms underlying the solvency-liquidity nexus to derive … relations between solvency shocks and liquidity shocks. These relations are then used to model liquidity and solvency risk in a …