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

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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).

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  • David S. Miller, 2020. "Information and Liquidity in the Market for Foreign Currency Denominated Sovereign Bonds," FEDS Notes 2020-12-28, Board of Governors of the Federal Reserve System (U.S.).
    • Handle: RePEc:fip:fedgfn:2020-12-28
    DOI: 10.17016/2380-7172.2821
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