to intermediate bond markets, as in March 2020. Although yield volatility explains most of the variation in Treasury … market liquidity over time, when dealer balance sheet utilization reaches sufficiently high levels, liquidity is much worse … than predicted by yield volatility alone. This is consistent with the existence of occasionally binding constraints on the …

This paper examines the propagation of volatility and liquidity shocks across major sovereign bond markets during the … autoregressive model, which captures jointly the dynamics of liquidity and volatility in the government bond markets of Belgium … that liquidity is generally the more important source of shocks transmitted across borders, and this transmission largely …

) unite liquidity and volatility in one framework through which their joint dynamics can be examined. Liquidity and volatility … ; Treasury market ; limit order book ; financial crisis ; volatility ; announcement …We propose a new class of dynamic order book models that allow us to 1) study episodes of extreme low liquidity and 2 …

We model the joint dynamics of intraday liquidity, volume, and volatility in the U.S. Treasury market, especially … Bauwens & Giot (2000)'s Log-ACD(1,1) model, we find that liquidity, volume and volatility are highly persistent, with … volatility having a lower short-term persistence than the other two. Market liquidity and volume are important to explaining …

We study the relationship between volatility and liquidity in the market for on-the-run Treasury securities using a … to volatility in future, perhaps because liquidity is more reliant on high-speed quote replenishment and is therefore … novel framework for quantifying price impact. We show that at times of relatively low volatility, marginal trades that go …

liquidity risk factor. Results show that the level of bank returns is not directly affected by the SLRI, but their volatility … — measured as the sensitivity of volatility to the index. Surprisingly, exposure to systemic liquidity risk is positively …I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several …

We show that liquidity tail risk in credit default swap (CDS) spreads is time-varying and explains variation in CDS … spreads. We capture the liquidity tail risk of a CDS contract written on a firm by estimating the tail dependence, i.e., the … extreme downwards movements in the liquidity of individual CDS contracts and the CDS market. This effect holds in various …

This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to … points. Our results reveal presence of volatility in the three currencies and equally indicate that most of the asymmetric … models rejected the existence of a leverage effect except for models with volatility break. Evaluating the models through …