a measure of liquidity based on the standard deviation of yields of those bonds that are used to compute the average …

. Suitable bonds are used to compute time series of yields for the respective Länder at a daily frequency as well as a liquidity …

a measure of liquidity based on the standard deviation of yields of those bonds that are used to compute the average …

a measure of liquidity based on the standard deviation of yields of those bonds that are used to compute the average …

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 securities normally possess unparalleled safety and liquidity and, consequently, carry a money premium. We use … the money premium, safety, and liquidity. Our results shed light on Treasury market dynamics specifically, and debt more …. Meanwhile, changes in liquidity only affected the money premium during the impasses. Next, we show that Treasury safety and …

environment; ii) the role of government bonds as liquidity instruments; iii) whether and how the correlation structure of the … sovereign-bonds’ market values affects the portfolio composition of liquidity instruments and prices, and the scope for a debt …

sector in an environment where liquidity holdings is an input of the credit/investment process. The supply of liquidity is … constrained in that income pledgeability limits inside liquidity, and not all sovereign debt is safe/liquid. We pin down the … determinants of liquidity/collateral premia and bond spreads, and with reference to the eurozone: (i) the implications of the ECB …

sector in an environment where liquidity holdings is an input of the credit/investment process. The supply of liquidity is … constrained in that income pledgeability limits inside liquidity, and not all sovereign debt is safe/liquid. We pin down the … determinants of liquidity/collateral premia and bond spreads, and with reference to the eurozone: (i) the implications of the ECB …

spreads, and corporate bond liquidity spreads in a unified no-arbitrage framework. Four economic factors, monetary conditions …. During the pre-crisis period, volatility shocks decrease Treasury yields and widen both credit spreads and liquidity spreads … and real output become significant as well. Ignoring the liquidity component of corporate yield spreads is shown to lead …