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Spanish Treasury bond market liquidity and volatility pre- and post-European Monetary Union
16 references·7 citing·42 second hop
Spanish Treasury bond market liquidity and volatility pre- and post-European Monetary Union (2005)Spanish Treasury bond market liquidity an…Yield spreads on EMU government bonds (2003)Yield spreads on EMU governme…The bond/old-bond spread (2002)The bond/old-bond spreadMeasuring Treasury Market Liquidity (2001)Measuring Treasury Market Liq…An Empirical Study of Bond Market Transactions (2000)An Empirical Study of Bond Ma…Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information (1999)Price Formation and Liquidity…The Relation Between Treasury Yields and Corporate Bond Yield Spreads (1998)The Relation Between Treasury…Tax and Liquidity Effects in Pricing Government Bonds (1998)Tax and Liquidity Effects in …Liquidity, Taxes, and Short-Term Treasury Yields (1994)Liquidity, Taxes, and Short-T…Bond Returns, Liquidity, and Missing Data (1992)Bond Returns, Liquidity, and …Liquidity, Maturity, and the Yields on U.S. Treasury Securities (1991)Liquidity, Maturity, and the …Liquidity, Maturity, and the Yields on U.S. Treasury Securities (1991)Liquidity, Maturity, and the …BOND RETURNS, LIQUIDITY, AND MISSING DATA (1989)BOND RETURNS, LIQUIDITY, AND …Bond Price Data and Bond Market Liquidity (1989)Bond Price Data and Bond Mark…Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…The age pattern of mortality (1980)The age pattern of mortalityDeterminants of Risk Premiums on Corporate Bonds (1959)Determinants of Risk Premiums…Constructing dynamic life tables with a single-factor model (2020)Constructing dynamic life tab…Liquidity of financial markets: a review (2019)Liquidity of financial market…Liquidity measures throughout the lifetime of the U.S. Treasury bond (2017)Liquidity measures throughout…The term structure of illiquidity premia (2011)The term structure of illiqui…The impact of unconventional monetary policy on the market for collateral: The case of the French bond market (2011)The impact of unconventional …Central Bank Liquidity and Market Liquidity: The Role of Collateral Provision on the French Government Debt Securities Market (2010)Central Bank Liquidity and Ma…Stock interest rate risk and inflation shocks (2009)Stock interest rate risk and …A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks (1992)The Informational Efficiency of the Corporate Bond Market: An Intraday Analysis (2002)Comparing possible proxies of corporate bond liquidity (2004)The cross-section of expected corporate bond returns: Betas or characteristics? (2004)THE TAX‐ADJUSTED YIELD CURVE (1975)Asset pricing and the bid-ask spread (1986)Search and endogenous concentration of liquidity in asset markets (2006)Stock and Bond Market Liquidity: A Long-Run Empirical Analysis (2007)From ‘Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yield, and Stock Prices in the United States Since 1856’ (2017)Mutual Fund Liquidity Transformation and Reverse Flight to Liquidity (2020)Common Factors Affecting Bond Returns (1991)A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)Estimating the Price of Default Risk (1999)Do Credit Spreads Reflect Stationary Leverage Ratios? (2001)A Preferred-Habitat Model of the Term Structure of Interest Rates (2009)Regional Model Life Tables and Stable Populations. (1967)Applying Lee-Carter under conditions of variable mortality decline (2002)Mortality Modelling and Forecasting: a Review of Methods (2008)Deciphering death: a commentary on Gompertz (1825) ‘On the nature of the function expressive of the law of human mortality, and on a new mode of determining the value of life contingencies’ (2015)The Limits of Arbitrage (1995)What Do a Million Observations on Banks Say About the Transmission of Monetary Policy? (2000)Chapter 15 Anomalies and market efficiency (2003)Valuation in Over-the-Counter Markets (2007)Limits of Arbitrage (2010)The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns (1989)Special Repo Rates (1996)Share restrictions and asset pricing: Evidence from the hedge fund industry☆ (2006)The Information Content of Annual Earnings Announcements (1968)Stock return variances (1986)Measuring the Information Content of Stock Trades (1991)Macroeconomic Factors Do Influence Aggregate Stock Returns (2002)The Pre-FOMC Announcement Drift (2012)Measuring Corporate Bond Mortality and Performance (1989)Liquidity and Credit Risk (2006)Measuring Default Risk Premia from Default Swap Rates and EDFs (2007)Explaining the Rate Spread on Corporate Bonds (2001)Forecasting the Term Structure of Government Bond Yields (2003)The U.S. Treasury yield curve: 1961 to the present (2007)Debt and growth: New evidence for the euro area (2012)Public debt and economic growth: Is there a causal effect? (2014)Public debt and growth: Heterogeneity and non-linearity (2015)
this work references cited by second hop

References

  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 1999Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information799 cited
  • 1998The Relation Between Treasury Yields and Corporate Bond Yield Spreads778 cited
  • 1980The age pattern of mortality595 cited
  • 2003Yield spreads on EMU government bonds580 cited
  • 2002The bond/old-bond spread514 cited
  • 1991Liquidity, Maturity, and the Yields on U.S. Treasury Securities503 cited
  • 1959Determinants of Risk Premiums on Corporate Bonds460 cited
  • 2000An Empirical Study of Bond Market Transactions324 cited
  • 1992Bond Returns, Liquidity, and Missing Data289 cited
  • 1994Liquidity, Taxes, and Short-Term Treasury Yields278 cited
  • 1989Bond Price Data and Bond Market Liquidity267 cited
  • 1991Liquidity, Maturity, and the Yields on U.S. Treasury Securities230 cited
  • 2001Measuring Treasury Market Liquidity227 cited
  • 1998Tax and Liquidity Effects in Pricing Government Bonds192 cited
  • 1989BOND RETURNS, LIQUIDITY, AND MISSING DATA187 cited

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Cited by

  • 2011The term structure of illiquidity premia47 cited
  • 2009Stock interest rate risk and inflation shocks37 cited
  • 2019Liquidity of financial markets: a review32 cited
  • 2017Liquidity measures throughout the lifetime of the U.S. Treasury bond29 cited
  • 2011The impact of unconventional monetary policy on the market for collateral: The case of the French bond market24 cited
  • 2010Central Bank Liquidity and Market Liquidity: The Role of Collateral Provision on the French Government Debt Securities Market19 cited
  • 2020Constructing dynamic life tables with a single-factor model13 cited