Nothing Special   »   [go: up one dir, main page]
create a website
The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices. (2004). Longstaff, Francis.
In: The Journal of Business.
RePEc:ucp:jnlbus:v:77:y:2004:i:3:p:511-526.

Full description at Econpapers || Download paper

Cited: 233

Citations received by this document

Cites: 0

References cited by this document

Cocites: 0

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. A method to measure bank output while excluding credit risk and retaining liquidity effects. (2024). Chiappini, Raphaël ; Bruno, Olivier ; Groslambert, Bertrand.
    In: Post-Print.
    RePEc:hal:journl:hal-04452785.

    Full description at Econpapers || Download paper

  2. A method to measure bank output while excluding credit risk and retaining liquidity effects. (2024). Bruno, Olivier ; Groslambert, Bertrand ; Chiappini, Raphael.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:94:y:2024:i:c:p:167-179.

    Full description at Econpapers || Download paper

  3. Flight to safety, intermediation frictions, and US Treasury floating rate note prices. (2024). Ahn, Yongkil.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:60:y:2024:i:c:s154461232301245x.

    Full description at Econpapers || Download paper

  4. Betting on mean reversion in the VIX? Evidence from ETP flows. (2024). Nielsen, Ole Linnemann ; Posselt, Anders Merrild.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003533.

    Full description at Econpapers || Download paper

  5. Options illiquidity in an over-the-counter market. (2024). Ahn, Jungkyu.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002357.

    Full description at Econpapers || Download paper

  6. Mutual funds and safe government bonds: do returns matter?. (2024). Graziano, Marco ; Habib, Maurizio Michael.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20242931.

    Full description at Econpapers || Download paper

  7. Treasury Richness. (2024). Longstaff, Francis A ; Fleckenstein, Matthias.
    In: Journal of Finance.
    RePEc:bla:jfinan:v:79:y:2024:i:4:p:2797-2844.

    Full description at Econpapers || Download paper

  8. The Term Structure of Covered Interest Rate Parity Violations. (2024). Song, Dongho ; Chernov, Mikhail ; Schmid, Lukas ; Augustin, Patrick.
    In: Journal of Finance.
    RePEc:bla:jfinan:v:79:y:2024:i:3:p:2077-2114.

    Full description at Econpapers || Download paper

  9. Treasury Safety, Liquidity, and Money Premium Dynamics: Evidence from Debt Limit Impasses. (2023). Klee, Elizabeth ; Syron, Erin E ; Cashin, David.
    In: Journal of Money, Credit and Banking.
    RePEc:wly:jmoncb:v:55:y:2023:i:6:p:1475-1506.

    Full description at Econpapers || Download paper

  10. Le modèle hybride de la structure par terme des primes souveraines de crédit et de liquidité dans la zone UEMOA. (2023). Bamba, Lambert Ngaladjo ; Gbongue, Florent Kanga.
    In: Region et Developpement.
    RePEc:tou:journl:v:57:y:2023:p:101-145.

    Full description at Econpapers || Download paper

  11. Flight to Earnings: The Role of Earnings in Periods of Capital Scarcity. (2023). So, Eric ; Kothari, S P ; Guest, Nick.
    In: Management Science.
    RePEc:inm:ormnsc:v:69:y:2023:i:8:p:4908-4931.

    Full description at Econpapers || Download paper

  12. The Effect of Government Reference Bonds on Corporate Borrowing Costs: Evidence from a Natural Experiment. (2023). Wang, Baolian ; Hong, Claire Yurong ; Flannery, Mark J.
    In: Management Science.
    RePEc:inm:ormnsc:v:69:y:2023:i:7:p:4051-4077.

    Full description at Econpapers || Download paper

  13. Dealer Capacity and U.S. Treasury Market Functionality. (2023). van Tassel, Peter ; Shachar, OR ; Nelson, Claire ; Keane, Frank M ; Fleming, Michael J ; Duffie, Darrell.
    In: Staff Reports.
    RePEc:fip:fednsr:96553.

    Full description at Econpapers || Download paper

  14. Revisiting asset co-movement: Does network topology really matter?. (2023). Shi, Huai-Long ; Chen, Huayi.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:66:y:2023:i:c:s0275531923001903.

    Full description at Econpapers || Download paper

  15. Return–volume nexus in financial markets: A survey of research. (2023). Yamani, Ehab.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000363.

    Full description at Econpapers || Download paper

  16. Diminishing treasury convenience premiums: Effects of dealers’ excess demand and balance sheet constraints. (2023). Sundaresan, Suresh ; Klingler, Sven.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:135:y:2023:i:c:p:55-69.

    Full description at Econpapers || Download paper

  17. Intermediary balance sheets and the treasury yield curve. (2023). Hebert, Benjamin ; Du, Wenxin ; Li, Wenhao.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:150:y:2023:i:3:s0304405x23001629.

    Full description at Econpapers || Download paper

  18. The impact of COVID-19 on stock market liquidity: Fresh evidence on listed Chinese firms. (2023). Apergis, Nicholas ; Xu, Bing ; Lau, Chi Keung.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:90:y:2023:i:c:s1057521923003630.

    Full description at Econpapers || Download paper

  19. On illiquidity of an emerging sovereign bond market. (2023). Soykok, Emre ; Karahan, Cenk C.
    In: Economic Systems.
    RePEc:eee:ecosys:v:47:y:2023:i:2:s093936252300002x.

    Full description at Econpapers || Download paper

  20. No place like home: Home bias and flight-to-quality in Group of Seven countries. (2023). Nagy, Balint-Zsolt ; Socaciu, Erzsebet-Mirjam ; Benedek, Botond.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:129:y:2023:i:c:s0264999323003619.

    Full description at Econpapers || Download paper

  21. Dealer capacity and US Treasury market functionality. (2023). Van Tassel, Peter ; Fleming, Michael ; Shachar, OR ; Nelson, Claire ; Keane, Frank ; Duffie, Darrell.
    In: BIS Working Papers.
    RePEc:bis:biswps:1138.

    Full description at Econpapers || Download paper

  22. Money market funds and the pricing of near-money assets. (2023). Doerr, Sebastian ; Malamud, Semyon ; Eren, Sebastian Egemen.
    In: BIS Working Papers.
    RePEc:bis:biswps:1096.

    Full description at Econpapers || Download paper

  23. Corporate Real Estate Holding and Stock Returns: International Evidence from Listed Companies. (2022). Chan, Suikang ; Ka, Charles ; Yiu, Joe Cho.
    In: MPRA Paper.
    RePEc:pra:mprapa:111691.

    Full description at Econpapers || Download paper

  24. Portfolios for Long-Term Investors*. (2022). Cochrane, John H.
    In: Review of Finance.
    RePEc:oup:revfin:v:26:y:2022:i:1:p:1-42..

    Full description at Econpapers || Download paper

  25. Fragility of Safe Asset Markets. (2022). Phelan, Gregory ; Eisenbach, Thomas M.
    In: Staff Reports.
    RePEc:fip:fednsr:94496.

    Full description at Econpapers || Download paper

  26. Intermediary Balance Sheets and the Treasury Yield Curve. (2022). Du, Wen Xin ; Li, Wenhao ; Hebert, Benjamin.
    In: Staff Reports.
    RePEc:fip:fednsr:94462.

    Full description at Econpapers || Download paper

  27. False Safe Haven Assets: Evidence From the Target Volatility Strategy Based on Recurrent Neural Network. (2022). Będowska-Sójka, Barbara ; Perez, Katarzyna ; Grobelny, Przemysaw ; Bdowska-Sojka, Barbara ; Kaczmarek, Tomasz.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:60:y:2022:i:c:s0275531921002312.

    Full description at Econpapers || Download paper

  28. Who moved my liquidity? Liquidity evaporation in emerging markets in periods of financial uncertainty. (2022). Agudelo, Diego A ; Munera, Daimer J.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:129:y:2022:i:c:s0261560622001267.

    Full description at Econpapers || Download paper

  29. What uncertainty does to euro area sovereign bond markets: Flight to safety and flight to quality. (2022). Sousa, Ricardo ; Costantini, Mauro.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:122:y:2022:i:c:s0261560621002254.

    Full description at Econpapers || Download paper

  30. Treasury inconvenience yields during the COVID-19 crisis. (2022). Nagel, Stefan ; He, Zhiguo ; Song, Zhaogang.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:143:y:2022:i:1:p:57-79.

    Full description at Econpapers || Download paper

  31. Factor volatility spillover and its implications on factor premia. (2022). Shi, Huai-Long ; Zhou, Wei-Xing.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:80:y:2022:i:c:s1042443122001068.

    Full description at Econpapers || Download paper

  32. COVID-19 pandemic and liquidity commonality. (2022). Suardi, Sandy ; Zhou, Ivy Z ; Xu, Caihong.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:78:y:2022:i:c:s1042443122000579.

    Full description at Econpapers || Download paper

  33. Green energy indices & financial markets: An in-depth look. (2022). Nobletz, Capucine.
    In: International Economics.
    RePEc:eee:inteco:v:171:y:2022:i:c:p:80-109.

    Full description at Econpapers || Download paper

  34. Demystifying the US Treasury floating rate note puzzle: A swap market perspective. (2022). Ahn, Yongkil.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322005396.

    Full description at Econpapers || Download paper

  35. Investor strategies in the green bond market: The influence of liquidity risks, economic factors and clientele effects. (2022). Rannou, Yves ; Boutabba, Mohamed Amine.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:81:y:2022:i:c:s105752192200045x.

    Full description at Econpapers || Download paper

  36. Why are fiscal multipliers moderate even under monetary accommodation?. (2022). Schabert, Andreas ; Juessen, Falko ; Bredemeier, Christian.
    In: European Economic Review.
    RePEc:eee:eecrev:v:141:y:2022:i:c:s0014292121002531.

    Full description at Econpapers || Download paper

  37. Affine arbitrage-free yield net models with application to the euro debt crisis. (2022). Niu, Linlin ; Zhang, Chen ; Hong, Zhiwu.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:230:y:2022:i:1:p:201-220.

    Full description at Econpapers || Download paper

  38. Determining hedges and safe havens for stocks using interval analysis. (2022). Hsueh, Shao-Chieh ; Liu, Yilei ; Ju, Peijie ; Chang, Meng-Shiuh.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000274.

    Full description at Econpapers || Download paper

  39. Is the COVID-19 pandemic more contagious for the Asian stock markets? A comparison with the Asian financial, the US subprime and the Eurozone debt crisis. (2022). Mehta, Chhavi ; Chopra, Monika.
    In: Journal of Asian Economics.
    RePEc:eee:asieco:v:79:y:2022:i:c:s1049007822000100.

    Full description at Econpapers || Download paper

  40. Corporate Real Estate Holding and Stock Returns: International Evidence from Listed Companies. (2022). Leung, Charles ; Ka, Charles ; Yiu, Joe Cho ; Chen, Suikang.
    In: ISER Discussion Paper.
    RePEc:dpr:wpaper:1158.

    Full description at Econpapers || Download paper

  41. The Impact of Retail Investors Sentiment on Conditional Volatility of Stocks and Bonds. (2022). Kedar-Levy, Haim ; Hadad, Elroi.
    In: Papers.
    RePEc:arx:papers:2208.01538.

    Full description at Econpapers || Download paper

  42. Betting on mean reversion in the VIX? Evidence from ETP flows. (2022). Posselt, Anders Merrild ; Nielsen, Ole Linnemann.
    In: CREATES Research Papers.
    RePEc:aah:create:2022-06.

    Full description at Econpapers || Download paper

  43. The role of time?varying risk premia in international interbank markets. (2021). Karouzakis, Nikolaos.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:26:y:2021:i:4:p:5720-5745.

    Full description at Econpapers || Download paper

  44. Gold and Government Bonds as Safe-Haven Assets Against Stock Market Turbulence in China. (2021). Chang, Meng-Shiuh ; Huang, Wei.
    In: SAGE Open.
    RePEc:sae:sagope:v:11:y:2021:i:1:p:2158244021990655.

    Full description at Econpapers || Download paper

  45. When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response. (2021). Muir, Tyler ; Moreira, Alan ; Haddad, Valentin.
    In: Review of Financial Studies.
    RePEc:oup:rfinst:v:34:y:2021:i:11:p:5309-5351..

    Full description at Econpapers || Download paper

  46. Hedge and safe haven properties during COVID-19: Evidence from Bitcoin and gold. (2021). BenSaïda, Ahmed ; Ghorbel, Ahmed ; Bensaida, Ahmed ; Chemkha, Rahma ; Tayachi, Tahar.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:82:y:2021:i:c:p:71-85.

    Full description at Econpapers || Download paper

  47. Noise as a liquidity measure: Evidence from the JGB market. (2021). Hattori, Takahiro.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:67:y:2021:i:c:s0927538x21000226.

    Full description at Econpapers || Download paper

  48. Asset mispricing. (2021). Petrasek, Lubomir ; Longstaff, Francis A ; Lewis, Kurt F.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:141:y:2021:i:3:p:981-1006.

    Full description at Econpapers || Download paper

  49. Benchmark interest rates when the government is risky. (2021). Chernov, Mikhail ; Song, D ; Schmid, L ; Augustin, P.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:140:y:2021:i:1:p:74-100.

    Full description at Econpapers || Download paper

  50. Flight to quality – Gold mining shares versus gold bullion. (2021). Schweikert, Karsten ; Prange, Philipp ; Baur, Dirk G.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:71:y:2021:i:c:s1042443121000159.

    Full description at Econpapers || Download paper

  51. Monetary policy at the zero lower bound: Information in the Federal Reserve’s balance sheet. (2021). Golinski, Adam ; Goliski, Adam.
    In: European Economic Review.
    RePEc:eee:eecrev:v:131:y:2021:i:c:s0014292120302439.

    Full description at Econpapers || Download paper

  52. Is gold a hedge or a safe-haven asset in the COVID–19 crisis?. (2021). Sensoy, Ahmet ; Lucey, Brian M ; Boubaker, Sabri ; Akhtaruzzaman, MD.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:102:y:2021:i:c:s0264999321001772.

    Full description at Econpapers || Download paper

  53. Heterogeneous Beliefs, Limited Participation and Flight-to-Quality. (2021). Zhang, Shunming ; Wang, Yanjie ; Huang, Helen Hui.
    In: Annals of Economics and Finance.
    RePEc:cuf:journl:y:2021:v:22:i:2:huangwangzhang.

    Full description at Econpapers || Download paper

  54. Why Are Fiscal Multipliers Moderate Even Under Monetary Accommodation?. (2021). Schabert, Andreas ; Juessen, Falko ; Bredemeier, Christian.
    In: ECONtribute Discussion Papers Series.
    RePEc:ajk:ajkdps:074.

    Full description at Econpapers || Download paper

  55. Money, Asset Prices, and the Liquidity Premium. (2020). Lee, Seungduck.
    In: Journal of Money, Credit and Banking.
    RePEc:wly:jmoncb:v:52:y:2020:i:6:p:1435-1466.

    Full description at Econpapers || Download paper

  56. A common risk factor and the correlation between equity and corporate bond returns. (2020). Nyman, Rickard ; Tuckett, David ; Kabiri, Ali ; Demirovic, Amer.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:21:y:2020:i:2:d:10.1057_s41260-020-00151-8.

    Full description at Econpapers || Download paper

  57. Treasury Inconvenience Yields during the COVID-19 Crisis. (2020). Nagel, Stefan ; He, Zhiguo ; Song, Zhaogang.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:27416.

    Full description at Econpapers || Download paper

  58. A No-Arbitrage Perspective on Global Arbitrage Opportunities. (2020). Song, Dongho ; Chernov, Mikhail ; Augustin, Patrick ; Schmid, Lukas.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:27231.

    Full description at Econpapers || Download paper

  59. When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response. (2020). Muir, Tyler ; Moreira, Alan ; Haddad, Valentin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:27168.

    Full description at Econpapers || Download paper

  60. Yield curves from different bond data sets. (2020). Jareño, Francisco ; Navarro, Eliseo ; Jareo, Francisco ; Diaz, Antonio.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:23:y:2020:i:2:d:10.1007_s11147-019-09162-z.

    Full description at Econpapers || Download paper

  61. Investor strategies and Liquidity Premia in the European Green Bond market. (2020). Rannou, Yves ; Boutabba, Mohamed Amine.
    In: Post-Print.
    RePEc:hal:journl:hal-02544451.

    Full description at Econpapers || Download paper

  62. A common risk factor and the correlation between equity and corporate bond returns. (2020). Nyman, Rickard ; Tuckett, David ; Kabiri, Ali ; Demirovic, Amer .
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:116902.

    Full description at Econpapers || Download paper

  63. The US Treasury floating rate note puzzle: Is there a premium for mark-to-market stability?. (2020). Longstaff, Francis A ; Fleckenstein, Matthias.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:137:y:2020:i:3:p:637-658.

    Full description at Econpapers || Download paper

  64. Do fire sales create externalities?. (2020). Sunderam, Adi ; Chernenko, Sergey.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:135:y:2020:i:3:p:602-628.

    Full description at Econpapers || Download paper

  65. Estimating the term structure of corporate bond liquidity premiums: An analysis of default free bank bonds. (2020). Stock, Duane ; Stanhouse, Bryan ; Leal, Diego .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:67:y:2020:i:c:s1042443120301013.

    Full description at Econpapers || Download paper

  66. Collateral haircuts and bond yields in the European government bond markets. (2020). Nguyen, Minh.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:69:y:2020:i:c:s1057521920301113.

    Full description at Econpapers || Download paper

  67. Liquidity commonality and high frequency trading: Evidence from the French stock market. (2020). Fontaine, Patrice ; Anagnostidis, Panagiotis.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:69:y:2020:i:c:s1057521919305320.

    Full description at Econpapers || Download paper

  68. Is market liquidity less resilient after the financial crisis? Evidence for US Treasuries. (2020). Broto, Carmen ; Lamas, Matias.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:93:y:2020:i:c:p:217-229.

    Full description at Econpapers || Download paper

  69. Asset mispricing in peer-to-peer loan secondary markets. (2020). Talavera, Oleksandr ; Pham, Tho ; Caglayan, Mustafa ; Xiong, Xiong.
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920302133.

    Full description at Econpapers || Download paper

  70. The term structure of CIP violations. (2020). Chernov, Mikhail ; Song, Dongo ; Schmid, Lukas ; Augustin, Patrick.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:14774.

    Full description at Econpapers || Download paper

  71. A DEEP MARKET IN ISRAELI CORPORATE BONDS: MACRO AND MICROECONOMIC ANALYSIS IN LIGHT OF THE ACCOUNTING STANDARDS. (2020). Hadad, Elroi ; Gershgoren, Gitit Gur ; Kedar-Levy, Haim.
    In: Israel Economic Review.
    RePEc:boi:isrerv:v:18:y:2020:i:1:p:139-176.

    Full description at Econpapers || Download paper

  72. Are Gold and Government Bond Safe‐Haven Assets? An Extremal Quantile Regression Analysis. (2020). Liu, WeiHan .
    In: International Review of Finance.
    RePEc:bla:irvfin:v:20:y:2020:i:2:p:451-483.

    Full description at Econpapers || Download paper

  73. Treasury Inconvenience Yields during the COVID-19 Crisis. (2020). He, Zhiguo ; Nagel, Stefan ; Song, Zhaogang.
    In: Working Papers.
    RePEc:bfi:wpaper:2020-79.

    Full description at Econpapers || Download paper

  74. Does maturity matter? The case of treasury futures volume. (2019). Huang, Kershen ; Chichernea, Doina ; Petkevich, Alex.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:39:y:2019:i:10:p:1301-1321.

    Full description at Econpapers || Download paper

  75. Safe Asset Carry Trade. (2019). Ranaldo, Angelo ; Ballensiefen, Benedikt.
    In: Working Papers on Finance.
    RePEc:usg:sfwpfi:2019:09.

    Full description at Econpapers || Download paper

  76. An Empirical Analysis of the Russian Financial Markets’ Liquidity and Returns. (2019). Lebedeva, K.
    In: Вестник исследований бизнеса и экономики // Review of Business and Economics Studies.
    RePEc:scn:00rbes:y:2015:i:3:p:5-31.

    Full description at Econpapers || Download paper

  77. FLIGHTS TO SAFETY. (2019). Wei, Min ; Inghelbrecht, Koen ; Bekaert, Geert ; Baele, Lieven.
    In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
    RePEc:rug:rugwps:19/968.

    Full description at Econpapers || Download paper

  78. Government Risk Premium Puzzle. (2019). van Nieuwerburgh, Stijn ; Xiaolan, Mindy ; Lustig, Hanno ; Jiang, Zhengyang.
    In: 2019 Meeting Papers.
    RePEc:red:sed019:437.

    Full description at Econpapers || Download paper

  79. Mind the Gap: Disentangling Credit and Liquidity in Risk Spreads. (2019). Schwarz, Krista.
    In: Review of Finance.
    RePEc:oup:revfin:v:23:y:2019:i:3:p:557-597..

    Full description at Econpapers || Download paper

  80. Benchmark Interest Rates When the Government is Risky. (2019). Song, Dongho ; Chernov, Mikhail ; Augustin, Patrick ; Schmid, Lukas.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:26429.

    Full description at Econpapers || Download paper

  81. Euro Area Government Bond Yield and Liquidity Dependence during different Monetary Policy Accommodation Phases. (2019). Carcel, Hector ; Jurksas, Linas .
    In: Bank of Lithuania Working Paper Series.
    RePEc:lie:wpaper:60.

    Full description at Econpapers || Download paper

  82. Aggregate risk and efficiency of mutual funds. (2019). Kuinskas, Simas .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:101:y:2019:i:c:p:1-11.

    Full description at Econpapers || Download paper

  83. J-liquidity measure: The term structure of the liquidity premium in Japan. (2019). Hattori, Takahiro.
    In: Japan and the World Economy.
    RePEc:eee:japwor:v:49:y:2019:i:c:p:61-72.

    Full description at Econpapers || Download paper

  84. Benchmark interest rates when the government is risky. (2019). Schmid, Lukas ; Chernov, Mikhail ; Augustin, Patrick ; Song, Dongo .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:14105.

    Full description at Econpapers || Download paper

  85. Asset mispricing in loan secondary markets. (2019). Talavera, Oleksandr ; Pham, Tho ; Xiong, Xiong ; Caglayan, Mustafa.
    In: Discussion Papers.
    RePEc:bir:birmec:19-07.

    Full description at Econpapers || Download paper

  86. Much ado about nothing: A study of differential pricing and liquidity of short and long term bonds. (2018). Simon, Zorka ; Nijman, Theodore E ; Driessen, Joost.
    In: SAFE Working Paper Series.
    RePEc:zbw:safewp:238.

    Full description at Econpapers || Download paper

  87. The liquidity premium of safe assets: The role of government debt supply. (2018). Xiong, Qizhou.
    In: IWH Discussion Papers.
    RePEc:zbw:iwhdps:112017.

    Full description at Econpapers || Download paper

  88. Zero-coupon interest rates: Evaluating three alternative datasets. (2018). Jareño, Francisco ; Navarro, Eliseo ; Jareo, Francisco ; Diaz, Antonio.
    In: Economics Discussion Papers.
    RePEc:zbw:ifwedp:201867.

    Full description at Econpapers || Download paper

  89. Is there a safety premium in the design of corporate bond contracts?. (2018). Takaoka, Sumiko.
    In: MPRA Paper.
    RePEc:pra:mprapa:86422.

    Full description at Econpapers || Download paper

  90. Convenience yield on government bonds and unconventional monetary policy in Japanese corporate bond spreads. (2018). Takaoka, Sumiko.
    In: MPRA Paper.
    RePEc:pra:mprapa:86418.

    Full description at Econpapers || Download paper

  91. Notes on Bonds: Illiquidity Feedback During the Financial Crisis. (2018). Musto, David ; Schwarz, Krista ; Nini, Greg.
    In: Review of Financial Studies.
    RePEc:oup:rfinst:v:31:y:2018:i:8:p:2983-3018..

    Full description at Econpapers || Download paper

  92. Floating Rate Money? The Stability Premium in Treasury Floating Rate Notes. (2018). Longstaff, Francis ; Fleckenstein, Matthias.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:25216.

    Full description at Econpapers || Download paper

  93. Do Fire Sales Create Externalities?. (2018). Sunderam, Adi ; Chernenko, Sergey.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:25104.

    Full description at Econpapers || Download paper

  94. State-varying illiquidity risk in sovereign bond spreads. (2018). Docherty, Paul ; Easton, Steve.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:50:y:2018:i:c:p:235-248.

    Full description at Econpapers || Download paper

  95. Home away from home? Foreign demand and London house prices. (2018). Badarinza, Cristian ; Ramadorai, Tarun.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:130:y:2018:i:3:p:532-555.

    Full description at Econpapers || Download paper

  96. Financial market illiquidity shocks and macroeconomic dynamics: Evidence from the UK. (2018). Ellington, Michael.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:89:y:2018:i:c:p:225-236.

    Full description at Econpapers || Download paper

  97. Testing for mutually exciting jumps and financial flights in high frequency data. (2018). Yang, Xiye ; Erdemlioglu, Deniz ; Dungey, Mardi ; Matei, Marius.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:202:y:2018:i:1:p:18-44.

    Full description at Econpapers || Download paper

  98. Decomposing Japanese municipal bond spreads: Default and liquidity premiums in times of crisis. (2018). Hattori, Takahiro.
    In: Journal of Asian Economics.
    RePEc:eee:asieco:v:59:y:2018:i:c:p:16-28.

    Full description at Econpapers || Download paper

  99. Who Improves or Worsens Liquidity in the Korean Treasury Bond Market?. (2018). Lee, Jieun.
    In: Working Papers.
    RePEc:bok:wpaper:1803.

    Full description at Econpapers || Download paper

  100. The missing piece of the puzzle: Liquidity premiums in inflation-indexed markets. (2017). Simon, Zorka ; Nijman, Theo E ; Driessen, Joost.
    In: SAFE Working Paper Series.
    RePEc:zbw:safewp:183.

    Full description at Econpapers || Download paper

  101. Does illiquidity matter in residential properties?. (2017). Hwang, Soosung ; Shin, Jinho ; Cho, Youngha .
    In: Applied Economics.
    RePEc:taf:applec:v:49:y:2017:i:1:p:1-20.

    Full description at Econpapers || Download paper

  102. Asset Mispricing. (2017). Longstaff, Francis ; Lewis, Kurt ; Petrasek, Lubomir .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:23231.

    Full description at Econpapers || Download paper

  103. Fiscal Multipliers and Monetary Policy: Reconciling Theory and Evidence. (2017). Schabert, Andreas ; Bredemeier, Christian ; Juessen, Falko .
    In: Working Paper Series in Economics.
    RePEc:kls:series:0095.

    Full description at Econpapers || Download paper

  104. An index of Treasury Market liquidity: 1991-2017. (2017). Vogt, Erik ; Fleming, Michael ; Adrian, Tobias.
    In: Staff Reports.
    RePEc:fip:fednsr:827.

    Full description at Econpapers || Download paper

  105. Liquidity shocks and real GDP growth: Evidence from a Bayesian time-varying parameter VAR. (2017). Milas, Costas ; Florackis, Chris ; Ellington, Michael.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:72:y:2017:i:c:p:93-117.

    Full description at Econpapers || Download paper

  106. The impact of innovation: Evidence from corporate bond exchange-traded funds (ETFs). (2017). Dannhauser, Caitlin D.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:125:y:2017:i:3:p:537-560.

    Full description at Econpapers || Download paper

  107. Liquidity measures throughout the lifetime of the U.S. Treasury bond. (2017). Diaz, Antonio ; Escribano, Ana .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:33:y:2017:i:c:p:42-74.

    Full description at Econpapers || Download paper

  108. Diversifying away the risk of war and cross-border political crisis. (2017). , Ayman ; Nolte, Sandra ; Wisniewski, Tomasz Piotr .
    In: Energy Economics.
    RePEc:eee:eneeco:v:64:y:2017:i:c:p:494-510.

    Full description at Econpapers || Download paper

  109. Modeling the spillovers between stock market and money market in Nigeria. (2017). Salisu, Afees ; Isah, Kazeem.
    In: Working Papers.
    RePEc:cui:wpaper:0023.

    Full description at Econpapers || Download paper

  110. Market Liquidity after the Financial Crisis. (2017). Shachar, Or ; Fleming, Michael ; Adrian, Tobias ; Vogt, Erik .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:12248.

    Full description at Econpapers || Download paper

  111. Bond Convenience Yields and Exchange Rate Dynamics. (2017). Valchev, Rosen.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:943.

    Full description at Econpapers || Download paper

  112. Time-Varying Linkage of Possible Safe Haven Assets: A Cross-Market and Cross-asset Analysis. (2017). Nguyen, Phong ; Liu, Wei-Han.
    In: International Review of Finance.
    RePEc:bla:irvfin:v:17:y:2017:i:1:p:43-76.

    Full description at Econpapers || Download paper

  113. Green bond finance and certification. (2017). Packer, Frank ; Ehlers, Torsten.
    In: BIS Quarterly Review.
    RePEc:bis:bisqtr:1709h.

    Full description at Econpapers || Download paper

  114. Measuring Limits of Arbitrage in Fixed-Income Markets. (2017). Fontaine, Jean-Sebastien ; Nolin, Guillaume.
    In: Staff Working Papers.
    RePEc:bca:bocawp:17-44.

    Full description at Econpapers || Download paper

  115. The MacroFinancial Risk Assessment Framework (MFRAF), Version 2.0. (2017). Fique, José.
    In: Technical Reports.
    RePEc:bca:bocatr:111.

    Full description at Econpapers || Download paper

  116. A heterogeneous agents equilibrium model for the term structure of bond market liquidity. (2016). Schuster, Philipp ; Uhrig-Homburg, Marliese ; Trapp, Monika .
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1305r2.

    Full description at Econpapers || Download paper

  117. Effects of Liquidity on the Non-Default Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data. (2016). Han, Song ; Zhou, Hao.
    In: Quarterly Journal of Finance (QJF).
    RePEc:wsi:qjfxxx:v:06:y:2016:i:03:n:s2010139216500129.

    Full description at Econpapers || Download paper

  118. Liquidity transformation in asset management: Evidence from the cash holdings of mutual funds. (2016). Sunderam, Adi ; Chernenko, Sergey.
    In: ESRB Working Paper Series.
    RePEc:srk:srkwps:201623.

    Full description at Econpapers || Download paper

  119. Liquidity Shocks and Real GDP Growth: Evidence from a Bayesian Time-varying Parameter VAR. (2016). Milas, Costas ; Ellington, Michael ; Florackis, Chris.
    In: Working Paper series.
    RePEc:rim:rimwps:16-28.

    Full description at Econpapers || Download paper

  120. The Complexity of Liquidity: The Extraordinary Case of Sovereign Bonds. (2016). Brooks, Jordan ; Boudoukh, Jacob ; Xu, Zhikai ; Richardson, Matthew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:22576.

    Full description at Econpapers || Download paper

  121. Liquidity Transformation in Asset Management: Evidence from the Cash Holdings of Mutual Funds. (2016). Chernenko, Sergey ; Sunderam, Adi.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:22391.

    Full description at Econpapers || Download paper

  122. The Great Escape? A Quantitative Evaluation of the Fed’s Liquidity Facilities. (2016). Ferrero, Andrea ; Eggertsson, Gauti ; Del Negro, Marco ; Kiyotaki, Nobuhiro.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:22259.

    Full description at Econpapers || Download paper

  123. Nonlinearity and flight to safety in the risk-return trade-off for stocks and bonds. (2016). Vogt, Erik ; Crump, Richard ; Adrian, Tobias.
    In: Staff Reports.
    RePEc:fip:fednsr:723.

    Full description at Econpapers || Download paper

  124. Strategy and tactics in public debt management. (2016). Manna, Michele ; Dottori, Davide.
    In: Journal of Policy Modeling.
    RePEc:eee:jpolmo:v:38:y:2016:i:1:p:1-25.

    Full description at Econpapers || Download paper

  125. The pricing of different dimensions of liquidity: Evidence from government guaranteed bonds. (2016). Black, Jeffrey R ; Yadav, Pradeep K ; Stock, Duane .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:71:y:2016:i:c:p:119-132.

    Full description at Econpapers || Download paper

  126. Risk protection from risky collateral: Evidence from the euro bond market. (2016). Lindset, Snorre ; Helberg, Stig.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:70:y:2016:i:c:p:193-213.

    Full description at Econpapers || Download paper

  127. Credit and liquidity in interbank rates: A quadratic approach. (2016). Roussellet, Guillaume ; Renne, Jean-Paul ; Monfort, Alain ; Dubecq, Simon.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:68:y:2016:i:c:p:29-46.

    Full description at Econpapers || Download paper

  128. How much can illiquidity affect corporate debt yield spread?. (2016). Raviv, Alon ; Abudy, Menachem.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:25:y:2016:i:c:p:58-69.

    Full description at Econpapers || Download paper

  129. Political risk and expected government bond returns. (2016). Martens, Martin ; Duyvesteyn, Johan ; Verwijmeren, Patrick.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:38:y:2016:i:pa:p:498-512.

    Full description at Econpapers || Download paper

  130. Conditional portfolio allocation: Does aggregate market liquidity matter?. (2016). Bazgour, Tarik ; Sougne, Danielle ; Heuchenne, Cedric.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:35:y:2016:i:c:p:110-135.

    Full description at Econpapers || Download paper

  131. Do stock market trading activities forecast recessions?. (2016). Chatterjee, Ujjal K.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:59:y:2016:i:c:p:370-386.

    Full description at Econpapers || Download paper

  132. A bivariate Hawkes process for interest rate modeling. (2016). Hainaut, Donatien.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:57:y:2016:i:c:p:180-196.

    Full description at Econpapers || Download paper

  133. Correlation changes between the risk-free rate and sovereign yields of euro area countries. (2016). De Santis, Roberto ; Stein, Michael ; Desantis, Roberto .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20161979.

    Full description at Econpapers || Download paper

  134. Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds. (2016). Vogt, Erik ; Crump, Richard ; Adrian, Tobias.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:11401.

    Full description at Econpapers || Download paper

  135. Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns. (2016). Garcia, René ; Fontaine, Jean-Sebastien ; Gungor, Sermin .
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2016s-21.

    Full description at Econpapers || Download paper

  136. Information in the Term Structure of Yield Curve Volatility. (2016). Povala, Pavol ; Cieslak, Anna.
    In: Journal of Finance.
    RePEc:bla:jfinan:v:71:y:2016:i:3:p:1393-1436.

    Full description at Econpapers || Download paper

  137. OPTIMAL PORTFOLIOS OF CORPORATE BONDS AND HOLD TO MATURITY STRATEGIES. (2015). Kopeliovich, Yaacov .
    In: Annals of Financial Economics (AFE).
    RePEc:wsi:afexxx:v:10:y:2015:i:02:n:s2010495215500104.

    Full description at Econpapers || Download paper

  138. Can large long-term investors capture illiquidity premiums. (2015). de Jong, F. C. J. M., ; Driessen, J. J. A. G., .
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:9c92b978-0099-44d3-9aab-810f97061b4c.

    Full description at Econpapers || Download paper

  139. Aggregate Risk and Efficiency of Mutual Funds. (2015). Kucinskas, Simas .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20150113.

    Full description at Econpapers || Download paper

  140. Exchange Rates and UIP Violations at Short and Long Horizons. (2015). Valchev, Rosen.
    In: 2015 Meeting Papers.
    RePEc:red:sed015:1446.

    Full description at Econpapers || Download paper

  141. CoMargin. (2015). Harris, Jeffrey ; Cruz Lopez, Jorge ; Hurlin, Christophe ; Perignon, Christophe.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-00979440.

    Full description at Econpapers || Download paper

  142. Liquidity and credit risk before and after the global financial crisis: Evidence from the Korean corporate bond market. (2015). Shin, Dongheon ; Kim, Baeho.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:33:y:2015:i:c:p:38-61.

    Full description at Econpapers || Download paper

  143. Limits to arbitrage and the term structure of bond illiquidity premiums. (2015). Schuster, Philipp ; Uhrig-Homburg, Marliese.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:57:y:2015:i:c:p:143-159.

    Full description at Econpapers || Download paper

  144. Financial indicators signaling correlation changes in sovereign bond markets. (2015). De Santis, Roberto A. ; Stein, Michael.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:56:y:2015:i:c:p:86-102.

    Full description at Econpapers || Download paper

  145. Does stock market liquidity explain real economic activity? New evidence from two large European stock markets. (2015). ARTIKIS, PANAGIOTIS ; Apergis, Nicholas ; Kyriazis, Dimitrios .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:38:y:2015:i:c:p:42-64.

    Full description at Econpapers || Download paper

  146. Liquidity premia and interest rate parity. (2015). Schabert, Andreas ; Linnemann, Ludger .
    In: Journal of International Economics.
    RePEc:eee:inecon:v:97:y:2015:i:1:p:178-192.

    Full description at Econpapers || Download paper

  147. Liquidity and credit premia in the yields of highly-rated sovereign bonds. (2015). Ejsing, Jacob ; Grothe, Oliver .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:33:y:2015:i:c:p:160-173.

    Full description at Econpapers || Download paper

  148. The public corporation as an intermediary between “Main Street” and “Wall Street”. (2015). , Ramesh.
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:34:y:2015:i:c:p:64-82.

    Full description at Econpapers || Download paper

  149. An examination of co-movements of Indias stock and government bond markets. (2015). Wahab, Mahmoud ; Kolluri, Bharat .
    In: Journal of Asian Economics.
    RePEc:eee:asieco:v:41:y:2015:i:c:p:39-56.

    Full description at Econpapers || Download paper

  150. Strategy and tactics in public debt management. (2015). Manna, Michele ; Dottori, Davide.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_1005_15.

    Full description at Econpapers || Download paper

  151. Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns. (2015). Gungor, Sermin ; Garcia, René ; Fontaine, Jean-Sebastien.
    In: Staff Working Papers.
    RePEc:bca:bocawp:15-12.

    Full description at Econpapers || Download paper

  152. Decomposition of country-specific corporate bond spreads. (2014). Dotz, Niko .
    In: Discussion Papers.
    RePEc:zbw:bubdps:372014.

    Full description at Econpapers || Download paper

  153. The Equity-like Behaviour of Sovereign Bonds. (2014). Dufour, Alfonso ; Stancu, Andrei ; Varotto, Simone.
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2014-16.

    Full description at Econpapers || Download paper

  154. The Empirical Analysis of Liquidity. (2014). Subrahmanyam, Avanidhar ; Jacobsen, Stacey ; Holden, Craig W..
    In: Foundations and Trends(R) in Finance.
    RePEc:now:fntfin:0500000044.

    Full description at Econpapers || Download paper

  155. The Liquidity Premium of Near-Money Assets. (2014). Nagel, Stefan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:20265.

    Full description at Econpapers || Download paper

  156. Was the European sovereign crisis self-fulfilling? Empirical evidence about the drivers of market sentiments. (2014). Fouquau, Julien ; Delatte, Anne-Laure ; Bruneau, Catherine.
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:42:y:2014:i:c:p:38-51.

    Full description at Econpapers || Download paper

  157. Stock market liquidity and macro-liquidity shocks: Evidence from the 2007–2009 financial crisis. (2014). Kontonikas, Alexandros ; KOSTAKIS, ALEXANDROS ; Florackis, Chris.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:44:y:2014:i:c:p:97-117.

    Full description at Econpapers || Download paper

  158. Mortgage convexity. (2014). Hanson, Samuel.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:113:y:2014:i:2:p:270-299.

    Full description at Econpapers || Download paper

  159. Reprint of: Market liquidity in the financial crisis: The role of liquidity commonality and flight-to-quality. (2014). Kaserer, Christoph ; Rosch, Christoph G..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:45:y:2014:i:c:p:152-170.

    Full description at Econpapers || Download paper

  160. How did the financial crisis alter the correlations of U.S. yield spreads?. (2014). Guidolin, Massimo ; De Pace, Pierangelo ; Contessi, Silvio ; DePace, Pierangelo.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:28:y:2014:i:c:p:362-385.

    Full description at Econpapers || Download paper

  161. Credit ratings and the choice of payment method in mergers and acquisitions. (2014). Petmezas, Dimitris ; Karampatsas, Nikolaos ; Travlos, Nickolaos G..
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:25:y:2014:i:c:p:474-493.

    Full description at Econpapers || Download paper

  162. European Bond ETFs: Tracking Errors and the Sovereign Debt Crisis. (2014). Drenovak, Mikica ; Jelic, Ranko ; Uroevia, Branko.
    In: European Financial Management.
    RePEc:bla:eufman:v:20:y:2014:i:5:p:958-994.

    Full description at Econpapers || Download paper

  163. Flight-to-liquidity flows in the euro area sovereign debt crisis. (2014). Gimeno, Ricardo ; Garcia, Juan Angel.
    In: Working Papers.
    RePEc:bde:wpaper:1429.

    Full description at Econpapers || Download paper

  164. A heterogeneous agents equilibrium model for the term structure of bond market liquidity. (2013). Uhrig-Homburg, Marliese ; Schuster, Philipp ; Trapp, Monika .
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1305r.

    Full description at Econpapers || Download paper

  165. Financial Regulation Policy Uncertainty and Credit Spreads in the U.S.. (2013). Nodari, Gabriela.
    In: Marco Fanno Working Papers.
    RePEc:pad:wpaper:0170.

    Full description at Econpapers || Download paper

  166. Incomplete markets, liquidation risk, and the term structure of interest rates. (2013). Challe, Edouard ; Ragot, Xavier ; le Grand, Franois ; Legrand, Franois .
    In: Working Papers.
    RePEc:hal:wpaper:hal-00843147.

    Full description at Econpapers || Download paper

  167. Incomplete markets, liquidation risk, and the term structure of interest rates. (2013). Ragot, Xavier ; Challe, Edouard ; le Grand, Franois ; Legrand, Franois .
    In: PSE Working Papers.
    RePEc:hal:psewpa:hal-00843147.

    Full description at Econpapers || Download paper

  168. Stock market liquidity and macro-liquidity shocks: Evidence from the 2007-2009 financial crisis. (2013). Kontonikas, Alexandros ; KOSTAKIS, ALEXANDROS ; Florackis, Chris.
    In: Working Papers.
    RePEc:gla:glaewp:2013_13.

    Full description at Econpapers || Download paper

  169. Duration risk versus local supply channel in Treasury yields: evidence from the Federal Reserves asset purchase announcements. (2013). D'Amico, Stefania ; Li, Canlin ; Damico, Stefania ; Cahill, Michael E. ; Sears, John S..
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2013-35.

    Full description at Econpapers || Download paper

  170. Testing for contagion: the impact of US structured markets on international financial markets. (2013). Taylor, Nicholas ; Leung, Woon Sau.
    In: Chapters.
    RePEc:elg:eechap:14545_11.

    Full description at Econpapers || Download paper

  171. Liquidity risk of corporate bond returns: conditional approach. (2013). Amihud, Yakov ; Bharath, Sreedhar T. ; Acharya, Viral V..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:110:y:2013:i:2:p:358-386.

    Full description at Econpapers || Download paper

  172. The term structure of interbank risk. (2013). Trolle, Anders B. ; Filipovi, Damir.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:109:y:2013:i:3:p:707-733.

    Full description at Econpapers || Download paper

  173. Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply. (2013). King, Thomas ; D'Amico, Stefania ; Damico, Stefania.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:108:y:2013:i:2:p:425-448.

    Full description at Econpapers || Download paper

  174. Incomplete markets, liquidation risk, and the term structure of interest rates. (2013). Ragot, Xavier ; Challe, Edouard ; le Grand, Franois ; Legrand, Franois .
    In: Journal of Economic Theory.
    RePEc:eee:jetheo:v:148:y:2013:i:6:p:2483-2519.

    Full description at Econpapers || Download paper

  175. Market liquidity in the financial crisis: The role of liquidity commonality and flight-to-quality. (2013). Kaserer, Christoph ; Rosch, Christoph G..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:7:p:2284-2302.

    Full description at Econpapers || Download paper

  176. Market Liquidity—Theory and Empirical Evidence *. (2013). Vayanos, Dimitri ; Wang, Jiang.
    In: Handbook of the Economics of Finance.
    RePEc:eee:finchp:2-b-1289-1361.

    Full description at Econpapers || Download paper

  177. Stock Market Liquidity and Macro-Liquidity Shocks: Evidence from the 2007-2009 Financial Crisis. (2013). Kontonikas, Alexandros ; KOSTAKIS, ALEXANDROS ; Florackis, Chris.
    In: SIRE Discussion Papers.
    RePEc:edn:sirdps:485.

    Full description at Econpapers || Download paper

  178. CoMargin. (2013). Chaker, Selma ; Meddahi, Nour.
    In: Staff Working Papers.
    RePEc:bca:bocawp:13-47.

    Full description at Econpapers || Download paper

  179. Aggregate Stock Market Illiquidity and Bond Risk Premia. (2012). Sojli, Elvira ; Tham, Wing Wah ; Bouwman, Kees E..
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20120140.

    Full description at Econpapers || Download paper

  180. A Survey of Systemic Risk Analytics. (2012). Flood, Mark ; Bisias, Dimitrios ; Valavanis, Stavros .
    In: Working Papers.
    RePEc:ofr:wpaper:12-01.

    Full description at Econpapers || Download paper

  181. Flights to Safety. (2012). Wei, Min ; Inghelbrecht, Koen ; Bekaert, Geert ; Baele, Lieven .
    In: Working Paper Research.
    RePEc:nbb:reswpp:201210-230.

    Full description at Econpapers || Download paper

  182. Flow and stock effects of large-scale asset purchases: evidence on the importance of local supply. (2012). King, Thomas ; D'Amico, Stefania.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2012-44.

    Full description at Econpapers || Download paper

  183. Flight to liquidity due to heterogeneity in investment horizon. (2012). Lei, Qin ; Wang, Xuewu.
    In: China Finance Review International.
    RePEc:eme:cfripp:v:2:y:2012:i:2:p:316-350.

    Full description at Econpapers || Download paper

  184. Counterparty credit risk and the credit default swap market. (2012). Gandhi, Priyank ; Arora, Navneet ; Longstaff, Francis A..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:103:y:2012:i:2:p:280-293.

    Full description at Econpapers || Download paper

  185. The term structure of illiquidity premia. (2012). Kempf, Alexander ; Korn, Olaf ; Uhrig-Homburg, Marliese.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:5:p:1381-1391.

    Full description at Econpapers || Download paper

  186. A Survey of Systemic Risk Analytics. (2012). Lo, Andrew ; Flood, Mark ; Valavanis, Stavros ; Bisias, Dimitrios .
    In: Annual Review of Financial Economics.
    RePEc:anr:refeco:v:4:y:2012:p:255-296.

    Full description at Econpapers || Download paper

  187. Measuring Co-Movements of CDS Premia during the Greek Debt Crisis. (2011). Brill, Felix ; Andenmatten, Sergio .
    In: Diskussionsschriften.
    RePEc:ube:dpvwib:dp1104.

    Full description at Econpapers || Download paper

  188. The Private Equity Secondaries Market During the Financial Crisis and the “Valuation Gap”. (2011). Hege, Ulrich ; Nuti, Alessandro .
    In: MPRA Paper.
    RePEc:pra:mprapa:39550.

    Full description at Econpapers || Download paper

  189. Transmission of macro-liquidity shocks to liquidity-sorted stock portfolios’ returns: The role of the financial crisis. (2011). Kontonikas, Alexandros ; KOSTAKIS, ALEXANDROS ; Florackis, Chris.
    In: Working Papers.
    RePEc:gla:glaewp:2011_22.

    Full description at Econpapers || Download paper

  190. The Impact of Collateral Policies on Sovereign CDS Spreads. (2011). Calice, Giovanni .
    In: ECMI Papers.
    RePEc:eps:ecmiwp:12234.

    Full description at Econpapers || Download paper

  191. Who makes on-the-run Treasuries special?. (2011). Graveline, Jeremy J. ; McBrady, Matthew R..
    In: Journal of Financial Intermediation.
    RePEc:eee:jfinin:v:20:y:2011:i:4:p:620-632.

    Full description at Econpapers || Download paper

  192. Crises and liquidity in over-the-counter markets. (2011). Weill, Pierre-Olivier ; Rocheteau, Guillaume ; Lagos, Ricardo.
    In: Journal of Economic Theory.
    RePEc:eee:jetheo:v:146:y:2011:i:6:p:2169-2205.

    Full description at Econpapers || Download paper

  193. Liquidity effect in OTC options markets: Premium or discount?. (2011). Gupta, Anurag ; Deuskar, Prachi ; Subrahmanyam, Marti G..
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:14:y:2011:i:1:p:127-160.

    Full description at Econpapers || Download paper

  194. Market discipline and too-big-to-fail in the CDS market: Does banks size reduce market discipline?. (2011). Wedow, Michael ; Volz, Manja .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:2:p:195-210.

    Full description at Econpapers || Download paper

  195. Transmission of macro-liquidity shocks to liquidity-sorted stock portfolios’ returns: The role of the financial crisis. (2011). Kontonikas, Alexandros ; KOSTAKIS, ALEXANDROS ; Florackis, Chris.
    In: SIRE Discussion Papers.
    RePEc:edn:sirdps:272.

    Full description at Econpapers || Download paper

  196. Preferred-habitat investors and the US term structure of real rates. (2011). Zinna, Gabriele ; Vayanos, Dimitri ; Kaminska, Iryna.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0435.

    Full description at Econpapers || Download paper

  197. Illiquidity Premia in the Equity Options Market. (2011). Christoffersen, Peter ; Goyenko, Ruslan ; Karoui, Mehdi ; Jacobs, Kris.
    In: CREATES Research Papers.
    RePEc:aah:create:2011-43.

    Full description at Econpapers || Download paper

  198. What can EMU countries sovereign bond spreads tell us about market perceptions of default probabilities during the recent financial crisis?. (2010). Fischer, Christoph ; Dotz, Niko .
    In: Discussion Paper Series 1: Economic Studies.
    RePEc:zbw:bubdp1:201011.

    Full description at Econpapers || Download paper

  199. Liquidity Risk in Financial Markets. (2010). Driessen, Joost.
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:d03ff62e-ec3c-43ba-879c-f87bf19906a6.

    Full description at Econpapers || Download paper

  200. Two Monetary Tools: Interest-Rates and Haircuts. (2010). Pedersen, Lasse ; Ashcraft, Adam ; Garleanu, Nicolae B.
    In: 2010 Meeting Papers.
    RePEc:red:sed010:1102.

    Full description at Econpapers || Download paper

  201. Information Content of Order Flow and Cross-market Portfolio Rebalancing: Evidence for the Chinese Stock, Treasury and Corporate Bond Markets. (2010). girardin, eric ; Tan, Dijun ; Wong, Woon K..
    In: Working Papers.
    RePEc:hkm:wpaper:022010.

    Full description at Econpapers || Download paper

  202. Exchange Rate Flexibility across Financial Crises. (2010). Mignon, Valérie ; COUHARDE, Cécile ; Coudert, Virginie.
    In: CEPN Working Papers.
    RePEc:hal:cepnwp:hal-00845254.

    Full description at Econpapers || Download paper

  203. The subprime credit crisis and contagion in financial markets. (2010). Longstaff, Francis.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:97:y:2010:i:3:p:436-450.

    Full description at Econpapers || Download paper

  204. Default, Liquidity and Crises : An Econometric Framework. (2010). Renne, Jean-Paul ; Monfort, Alain ; Alain Monfort ; Jean-Paul Renne, .
    In: Working Papers.
    RePEc:crs:wpaper:2010-46.

    Full description at Econpapers || Download paper

  205. Incomplete markets, liquidation risk, and the term structure of interest rates. (2010). Ragot, Xavier ; Challe, Edouard ; Le Grand, F..
    In: Working papers.
    RePEc:bfr:banfra:301.

    Full description at Econpapers || Download paper

  206. Amplification Mechanisms in Liquidity Crises. (2010). Krishnamurthy, Arvind.
    In: American Economic Journal: Macroeconomics.
    RePEc:aea:aejmac:v:2:y:2010:i:3:p:1-30.

    Full description at Econpapers || Download paper

  207. The TIPS Yield Curve and Inflation Compensation. (2010). Gürkaynak, Refet ; Refet S. Gürkaynak, ; Wright, Jonathan H. ; Sack, Brian.
    In: American Economic Journal: Macroeconomics.
    RePEc:aea:aejmac:v:2:y:2010:i:1:p:70-92.

    Full description at Econpapers || Download paper

  208. Does banks size distort market prices? Evidence for too-big-to-fail in the CDS market. (2009). Wedow, Michael ; Volz, Manja .
    In: Discussion Paper Series 2: Banking and Financial Studies.
    RePEc:zbw:bubdp2:200906.

    Full description at Econpapers || Download paper

  209. Emerging Market Local Currency Bond Market, Too Risky to Invest?. (2009). Kücük, Uğur ; Kuuk, Ugur N..
    In: MPRA Paper.
    RePEc:pra:mprapa:21878.

    Full description at Econpapers || Download paper

  210. Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market. (2009). Beber, Alessandro ; Kavajecz, Kenneth A ; Brandt, Michael W.
    In: Review of Financial Studies.
    RePEc:oup:rfinst:v:22:y:2009:i:3:p:925-957..

    Full description at Econpapers || Download paper

  211. Crises and Liquidity in Over-the-Counter Markets. (2009). Weill, Pierre-Olivier ; Rocheteau, Guillaume ; Lagos, Ricardo.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:15414.

    Full description at Econpapers || Download paper

  212. Amplification Mechanisms in Liquidity Crises. (2009). Krishnamurthy, Arvind.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:15040.

    Full description at Econpapers || Download paper

  213. Valuing Toxic Assets: An Analysis of CDO Equity. (2009). Longstaff, Francis ; Myers, Brett .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14871.

    Full description at Econpapers || Download paper

  214. Municipal Debt and Marginal Tax Rates: Is there a Tax Premium in Asset Prices?. (2009). Longstaff, Francis.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14687.

    Full description at Econpapers || Download paper

  215. The German Sub-national Government Bond Market: Structure, Determinants of Yield Spreads and Berlin’s Forgone Bail-out. (2009). Wolff, Guntram ; Schulz, Alexander.
    In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).
    RePEc:jns:jbstat:v:229:y:2009:i:1:p:61-83.

    Full description at Econpapers || Download paper

  216. The implications of liquidity and order flows for neoclassical finance. (2009). Subrahmanyam, Avanidhar.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:17:y:2009:i:5:p:527-532.

    Full description at Econpapers || Download paper

  217. The information content of market liquidity: An empirical analysis of liquidity at the Oslo Stock Exchange?. (2009). Skjeltorp, Johannes ; Ødegaard, Bernt.
    In: Working Paper.
    RePEc:bno:worpap:2009_26.

    Full description at Econpapers || Download paper

  218. The Aggregate Demand for Treasury Debt. (2008). Vissing-Jorgensen, Annette ; Krishnamurthy, Arvind.
    In: 2008 Meeting Papers.
    RePEc:red:sed008:713.

    Full description at Econpapers || Download paper

  219. Intra-country regulation of share markets: does one size fit all?. (2008). Meade, Richard ; boyle, glenn.
    In: European Journal of Law and Economics.
    RePEc:kap:ejlwec:v:25:y:2008:i:2:p:151-165.

    Full description at Econpapers || Download paper

  220. Effects of liquidity on the nondefault component of corporate yield spreads: evidence from intraday transactions data. (2008). Zhou, Hao ; Han, Song.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2008-40.

    Full description at Econpapers || Download paper

  221. Decomposing swap spreads. (2008). Lando, David ; Feldhutter, Peter.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:88:y:2008:i:2:p:375-405.

    Full description at Econpapers || Download paper

  222. Market segmentation, liquidity spillover, and closed-end country fund discounts. (2008). Chan, Justin S. P., ; Xia, Yihong ; Jain, Ravi .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:11:y:2008:i:4:p:377-399.

    Full description at Econpapers || Download paper

  223. Liquidity in the pricing of syndicated loans. (2008). Gupta, Anurag ; Singh, Ajai K. ; Zebedee, Allan A..
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:11:y:2008:i:4:p:339-376.

    Full description at Econpapers || Download paper

  224. Explaining the US bond yield conundrum. (2007). Seitz, Franz ; Clostermann, Jorg ; Bandholz, Harm .
    In: Weidener Diskussionspapiere.
    RePEc:zbw:hawdps:2.

    Full description at Econpapers || Download paper

  225. Liquidity and Trading Dynamics. (2007). Lorenzoni, Guido ; Guerrieri, Veronica.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13204.

    Full description at Econpapers || Download paper

  226. Commonality in the time-variation of stock-stock and stock-bond return comovements. (2007). Connolly, Robert ; Stivers, Chris ; Sun, Licheng.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:10:y:2007:i:2:p:192-218.

    Full description at Econpapers || Download paper

  227. .

    Full description at Econpapers || Download paper

  228. Intra-Country Regulation of Share Markets: Does One Size Fit All?. (2005). Meade, Richard ; boyle, glenn.
    In: Working Paper Series.
    RePEc:vuw:vuwcsr:3856.

    Full description at Econpapers || Download paper

  229. Intra-Country Regulation of Share Markets: Does One Size Fit All?. (2005). Meade, Richard ; Boyle, Glenn.
    In: Working Paper Series.
    RePEc:vuw:vuwcsr:18951.

    Full description at Econpapers || Download paper

References

References cited by this document

    This document has not been processed yet.

    You may help us by submiting the list of references

Cocites

Documents in RePEc which have cited the same bibliography

          This document has not co-citation data yet.

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-01-13 06:08:18 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.