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Information and Liquidity in the Market for Foreign Currency Denominated Sovereign Bonds

David Miller

No 2020-12-28, FEDS Notes from Board of Governors of the Federal Reserve System (U.S.)

Abstract: This note finds a negative, non-linear relationship between bond yield and liquidity using data on Portuguese, Irish, Italian, Greek, and Spanish (PIIGS) sovereign bonds from 2010-2015. This relationship is predicted by the asymmetric information model of bond liquidity by Holmstrom (2015) and Gorton (2017).

Date: 2020-12-28
New Economics Papers: this item is included in nep-fmk
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfn:2020-12-28

DOI: 10.17016/2380-7172.2821

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