Below are monthly measures of US bond market illiquidity measured by 'lambda' defined in 'Corporate bond liquidity before and after the onset of the subprime crisis'. 
The column 'MarketFactor' is the market illiquidity for all US-traded corporate bonds, 'Industry' is the market illiquidity for bonds issued by industrial firms, and
'Finance' is the market illiquidity for bonds issued by financial firms. Higher values correspond to a more illiquid market. The last two columns are the data 
behind Figure 5 in the paper.

yearm	MarketFactor	Industry	Finance
2002.07	0.5822512483	0.7964077376	0.541485856
2002.08	0.7199893087	1.4953904841	0.5856496883
2002.09	0.5390600769	1.1975538039	0.4279525139
2002.1	1.2552927121	1.4057256983	1.2294541521
2002.11	0.9394723902	0.7025298342	0.9850720254
2002.12	0.5463158188	0.5620979983	0.5432964349
2003.01	0.149041058	0.7019858965	0.0376489485
2003.02	0.1137187793	0.1776876703	0.1008958532
2003.03	0.0294309276	0.1578290122	-0.008113977
2003.04	-0.16264702	0.30383422	-0.299887949
2003.05	-0.05947445	0.30471045	-0.162231773
2003.06	-0.189111621	0.2136992442	-0.312134074
2003.07	-0.28947972	-0.299384151	-0.293162054
2003.08	-0.153083114	0.2141016003	-0.253499941
2003.09	-0.536902718	-0.342492661	-0.593455398
2003.1	-0.630994671	-0.494988602	-0.667644035
2003.11	-0.473595883	-0.393578778	-0.493882832
2003.12	-0.689546913	-0.618386774	-0.707056593
2004.01	-0.704478186	-0.564283555	-0.746547027
2004.02	-0.882750274	-0.785605758	-0.908842178
2004.03	-0.820878489	-0.654325891	-0.863293373
2004.04	-0.852268022	-0.719080115	-0.885603772
2004.05	-0.665322386	-0.720391008	-0.652794856
2004.06	-0.724642964	-0.50841972	-0.782771641
2004.07	-0.700151827	-0.296484281	-0.797352092
2004.08	-0.850244572	-0.776381366	-0.868037495
2004.09	-1.045968095	-0.720425724	-1.121342107
2004.1	-0.827823201	-0.521036356	-0.952338218
2004.11	-0.923554159	-0.527316676	-1.065412567
2004.12	-0.909910008	-0.538457646	-1.035794666
2005.01	-0.863853715	-0.400830122	-1.024091737
2005.02	-0.934576798	-0.647700027	-1.031679098
2005.03	-0.715453203	-0.310008151	-0.846154531
2005.04	-0.674333952	-0.230498399	-0.82399714
2005.05	-0.5265547	-0.057409886	-0.695888944
2005.06	-0.810648522	-0.413074398	-0.941913663
2005.07	-0.845752247	-0.268791369	-1.033022727
2005.08	-0.834252835	-0.415624467	-0.971973966
2005.09	-0.839329974	-0.343977426	-1.007844602
2005.1	-0.744128645	-0.188117223	-0.916813392
2005.11	-0.705760293	-0.173330242	-0.876441569
2005.12	-0.758476229	-0.185288541	-0.946393619
2006.01	-0.998072231	-0.543134438	-1.154689417
2006.02	-0.872051798	-0.370452674	-1.029102569
2006.03	-1.011773716	-0.697563099	-1.142995463
2006.04	-0.984209046	-0.57230978	-1.114030187
2006.05	-1.006416534	-0.583122082	-1.138174585
2006.06	-1.013264118	-0.574056173	-1.14244969
2006.07	-1.032086843	-0.44963423	-1.186878183
2006.08	-0.982646419	-0.469917451	-1.125476726
2006.09	-1.117049391	-0.708170427	-1.235670871
2006.1	-1.095312207	-0.686485953	-1.200936409
2006.11	-1.118051671	-0.656392103	-1.255266152
2006.12	-1.106137848	-0.505287619	-1.270071651
2007.01	-1.183797591	-0.715864993	-1.309502705
2007.02	-1.070444706	-0.654025618	-1.177987944
2007.03	-1.1539714	-0.735454013	-1.254566695
2007.04	-1.081235637	-0.958167239	-1.114115647
2007.05	-1.111403556	-0.81798983	-1.182968234
2007.06	-0.947379551	-0.596665172	-1.027199666
2007.07	-0.744570396	-0.486835044	-0.80750928
2007.08	-0.400286926	-0.491233117	-0.3808686
2007.09	-0.482819886	-0.282739702	-0.521386563
2007.1	-0.665257719	-0.637562995	-0.674341385
2007.11	0.0098734827	-0.447934621	0.1050885226
2007.12	-0.178758345	-0.22981462	-0.175970954
2008.01	0.0538533602	-0.002371456	0.0729906351
2008.02	-0.004256974	-0.081514644	0.0137952721
2008.03	0.9836337127	0.0465464648	1.2053865774
2008.04	-0.006159833	-0.150738385	0.0308777189
2008.05	0.0017463698	-0.149609425	0.0458487442
2008.06	0.1909990078	0.0835081498	0.2270243576
2008.07	0.3726015292	0.2451980673	0.4155682036
2008.08	0.3427937827	0.1278449619	0.3968076827
2008.09	2.8966218541	1.6841465415	3.1866898461
2008.1	3.3305474205	2.2239041781	3.605184533
2008.11	2.3048950023	1.8987940418	2.4017862973
2008.12	2.0865688321	2.0231587573	2.1159828439
2009.01	1.5630644269	1.5624802955	1.5708668775
2009.02	1.4808507717	1.80398747	1.4063225082
2009.03	2.4834121109	1.5942652534	2.6861179301
2009.04	1.2452678666	0.973837993	1.3214118381
2009.05	1.2062078794	1.096223812	1.2404958754
2009.06	0.6937858487	0.6297357467	0.7191329719
2009.07	0.6889402499	0.5431538047	0.7316283729
2009.08	0.5931437515	0.4871043	0.6150026535
2009.09	0.4223209744	0.0894746393	0.4889547276
2009.1	-0.021071837	0.1772391313	-0.056522128
2009.11	0.0587847541	0.3725426905	0.0023976362
2009.12	-0.097335368	0.1016247784	-0.133895764