This paper reviews empirical and theoretical work on the links between banks and their
governments (the bank-sovereign nexus). How significant is this nexus? What do we know …

This paper provides a thorough review of the liquidity measures that are used in the
empirical literature to measure liquidity. A wide range of papers have emphasized its role …

We examine the microstructure of liquidity provision in the COVID-19 corporate bond
liquidity crisis. During the two weeks leading up to Federal Reserve System interventions …

The young growing market for green bonds offers investors the opportunity to take an explicit
focus on climate protecting investment projects. However, it is an open question whether this …

We study trading costs and dealer behavior in US corporate bond markets from 2006 to
2016. Despite a temporary spike during the financial crisis, average trade execution costs …

Focusing on downgrades as stress events that drive the selling of corporate bonds, we show
that the illiquidity of stressed bonds has increased after the Volcker Rule. Dealers regulated …

We analyze liquidity components of corporate bond spreads during 2005–2009 using a new
robust illiquidity measure. The spread contribution from illiquidity increases dramatically with …

The recent financial crisis has led to a major debate about fair-value accounting. Many critics
have argued that fair-value accounting, often also called mark-to-market accounting, has …

We show that credit risk accounts for only a small fraction of yield spreads for investment-
grade bonds of all maturities, with the fraction lower for bonds of shorter maturities, and that …

In the literature, there is no consensus on a common approach to measure bond liquidity.
This paper is the first to comprehensively compare all commonly employed liquidity …