Liquidity and Price Volatility in US Corporate Bond Markets: Examining how Monetary Policy announcements influence this relationship

Abstract

During the period of September 2015 to December 2016, a non-stressed economic period, my analysis indicated that US monetary policy announcements do not have a significant effect on liquidity in US corporate bond markets. Furthermore, during this period, the relationship between bond liquidity and bond price volatility cannot be significantly measured with a linear regression, however there are some results using either a quadratic or a cubic function. Additionally, some of my results indicate a flight to quality in US corporate bond markets.