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• W2005014535 abstract "Abstract Previous studies of Treasury market illiquidity span short time periods and focus on particular maturities. In contrast, we study the time series of illiquidity for different maturities over an extended period of time. We also compare time-series determinants of on-the-run and off-the-run illiquidity. Illiquidity increases and the difference between spreads of long- and short-term bonds significantly widens during recessions, suggesting a “flight to liquidity,” wherein investors shift into the more liquid short-term bonds during economic contractions. Macroeconomic variables such as inflation and federal funds rates forecast off-the-run illiquidity significantly but have only modest forecasting ability for on-the-run illiquidity. Bond returns across maturities are forecastable by off-the-run but not on-the-run bond illiquidity. Thus, off-the-run illiquidity, by reflecting macro shocks first, is the primary source of the liquidity premium in the Treasury market." @default.
• W2005014535 created "2016-06-24" @default.
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• W2005014535 creator A5041928817 @default.
• W2005014535 creator A5050628275 @default.
• W2005014535 date "2010-11-10" @default.
• W2005014535 modified "2023-09-27" @default.
• W2005014535 title "The Term Structure of Bond Market Liquidity and Its Implications for Expected Bond Returns" @default.
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• W2005014535 doi "https://doi.org/10.1017/s0022109010000700" @default.
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