The asymmetry in price pressure from seller vs. buyer-initiated transactions is identified as valuable measure of downside liquidity for corporate bonds. While the evidence of illiquidity on risk premium in the cross-section of corporate bonds is mixed, the aggregate liquidity asymmetry has a...

Information asymmetry and liquidity concentration has been widely discussed in literatures. This study shows how liquidity influences not only forecasting performances of term structure estimation, but also information transmission and price adjustment across markets. Our analysis helps...

This study explores the relations between information flow risk, supply chain characteristics, and corporate bond yield spreads by employing American bond market data. This study finds that suppliers' information flow risk plays an important role in explaining bond yield spreads when controlling...

Despite a large literature documenting that the efficacy of monetary policy depends on how inflation expectations are anchored, many monetary policy models assume: (1) the inflation target of monetary policy is constant; and, (2) the inflation target is known by all economic agents. This paper...

The information asymmetry between the borrower and the lender is a well-studied issue in the credit contracts. Various mechanisms (credit rationing, short-term debt, relationship banking, collateralization) have been discussed in the literature to reduce the asymmetry. This paper examines the...

In recent years, term premia have been very low and sometimes even negative. Now, with the United States economy growing above potential, inflationary pressures are on the rise. Term premia are very sensitive to the expected future path of growth, inflation, and monetary policy, and an inflation...

In recent years, term premia have been very low and sometimes even negative. Now, with the United States economy growing above potential, inflationary pressures are on the rise. Term premia are very sensitive to the expected future path of growth, inflation, and monetary policy, and an inflation...

We study secured lending contracts using a novel, loan-by-loan database of bilateral repurchase agreements in which borrower quality is fixed and collateral quality is known. Holding all risk factors constant except collateral quality, we show that loans on riskier collateral have higher...

The implementation of the Government Accounting Standards Board's Statement 45 mandates disclosure of other post-employment benefits in a standardized format. The mandate provides an opportunity to analyze non-information impacts of mandatory disclosures, as key components of the information...

The investigations into LIBOR have highlighted that it is subject to manipulation. We examinea new method for constructing LIBOR that produces an unbiased estimator of the true rate.LIBOR itself is based solely on transactions. We allow for fines when a bank's transaction isdifferent than a...