Fed in Print
All Title Author Abstract Keywords
Bank Series Content Type Author JEL Classification Keyword

Discussion Paper

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


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).

https://doi.org/10.17016/2380-7172.2821

Access Documents

File(s): File format is text/html https://www.federalreserve.gov//econres/notes/feds-notes/information-and-liquidity-in-the-market-for-foreign-currency-denominated-sovereign-bonds-122820.htm

Authors

Bibliographic Information

Provider: Board of Governors of the Federal Reserve System (U.S.)

Part of Series: FEDS Notes

Publication Date: 2020-12-28

Number: 2020-12-28