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 values derived in the paper are the time series 'marketfactorpaper', 'industrypaper', and 'financepaper'. There are two differences in how we calculate the updated series compared to the original series in our paper. First, we do not require that a bond has a rating or that the issuing firm has accounting data available (but bonds are still straight coupon bullet bonds without options and maturity above one year). Second, the normalization weights when calculating each liquidity measure are based on the whole sample period and not the sample period in the paper. In other words, mu_j and sigma_j, j=1,..,4 in Appendix A.8 are updated and therefore not equal to the values derived in the paper. If you have questions to the below time series or would like an updated time series, please email Jens Dick-Nielsen at jdn.fi@cbs.dk yearm marketfactor industry finance marketfactorpaper industrypaper financepaper 2002.07 0.6167214296 0.9881248394 0.5561570284 0.5822512483 0.7964077376 0.541485856 2002.08 0.8564542676 1.4791133146 0.7389669519 0.7199893087 1.4953904841 0.5856496883 2002.09 0.5703500615 1.4463670446 0.416644442 0.5390600769 1.1975538039 0.4279525139 2002.1 1.4727829463 1.5137932889 1.4850080034 1.2552927121 1.4057256983 1.2294541521 2002.11 0.9390249262 0.8693832742 0.9681436302 0.9394723902 0.7025298342 0.9850720254 2002.12 0.648341662 0.8662612349 0.607393435 0.5463158188 0.5620979983 0.5432964349 2003.01 0.0299856181 0.7257427226 -0.108480583 0.149041058 0.7019858965 0.0376489485 2003.02 0.0793066764 0.1660401103 0.0617940943 0.1137187793 0.1776876703 0.1008958532 2003.03 -0.007829897 0.1837779721 -0.063899833 0.0294309276 0.1578290122 -0.008113977 2003.04 -0.226248611 0.3090701913 -0.382526053 -0.16264702 0.30383422 -0.299887949 2003.05 -0.118526201 0.2152224354 -0.216787288 -0.05947445 0.30471045 -0.162231773 2003.06 -0.290826128 0.1719330347 -0.437161548 -0.189111621 0.2136992442 -0.312134074 2003.07 -0.429007508 -0.412849502 -0.438575222 -0.28947972 -0.299384151 -0.293162054 2003.08 -0.141749849 0.3339710589 -0.277119195 -0.153083114 0.2141016003 -0.253499941 2003.09 -0.675377271 -0.366188314 -0.758439343 -0.536902718 -0.342492661 -0.593455398 2003.1 -0.847905706 -0.675313102 -0.886866435 -0.630994671 -0.494988602 -0.667644035 2003.11 -0.56426009 -0.389373364 -0.606901207 -0.473595883 -0.393578778 -0.493882832 2003.12 -0.844428783 -0.781751815 -0.85503276 -0.689546913 -0.618386774 -0.707056593 2004.01 -0.890232183 -0.712112727 -0.935460044 -0.704478186 -0.564283555 -0.746547027 2004.02 -1.124634352 -0.838100302 -1.201414263 -0.882750274 -0.785605758 -0.908842178 2004.03 -1.019612642 -0.733005097 -1.092775529 -0.820878489 -0.654325891 -0.863293373 2004.04 -1.041191034 -0.780428773 -1.107636313 -0.852268022 -0.719080115 -0.885603772 2004.05 -0.735666631 -0.645683101 -0.755397932 -0.665322386 -0.720391008 -0.652794856 2004.06 -0.804961246 -0.524373039 -0.882667347 -0.724642964 -0.50841972 -0.782771641 2004.07 -0.754464161 -0.228561878 -0.884188619 -0.700151827 -0.296484281 -0.797352092 2004.08 -0.982148861 -0.8165372 -1.02054862 -0.850244572 -0.776381366 -0.868037495 2004.09 -1.20228774 -0.737126987 -1.31435496 -1.045968095 -0.720425724 -1.121342107 2004.1 -1.041570107 -0.591959448 -1.23949132 -0.827823201 -0.521036356 -0.952338218 2004.11 -1.073447036 -0.648474051 -1.253678347 -0.923554159 -0.527316676 -1.065412567 2004.12 -1.029904263 -0.52601751 -1.223162278 -0.909910008 -0.538457646 -1.035794666 2005.01 -0.991952257 -0.470046701 -1.20293562 -0.863853715 -0.400830122 -1.024091737 2005.02 -1.065922778 -0.833787585 -1.161957018 -0.934576798 -0.647700027 -1.031679098 2005.03 -0.74463555 -0.293100595 -0.906903562 -0.715453203 -0.310008151 -0.846154531 2005.04 -0.643699066 -0.182267558 -0.810958938 -0.674333952 -0.230498399 -0.82399714 2005.05 -0.510665022 -0.008548615 -0.715424576 -0.5265547 -0.057409886 -0.695888944 2005.06 -0.864651524 -0.443495134 -1.012093491 -0.810648522 -0.413074398 -0.941913663 2005.07 -0.891360283 -0.28479741 -1.112775671 -0.845752247 -0.268791369 -1.033022727 2005.08 -0.853659017 -0.492095937 -0.984279485 -0.834252835 -0.415624467 -0.971973966 2005.09 -0.856303307 -0.26738674 -1.066178722 -0.839329974 -0.343977426 -1.007844602 2005.1 -0.773220185 -0.067310536 -1.014214843 -0.744128645 -0.188117223 -0.916813392 2005.11 -0.663378208 -0.103813327 -0.867421599 -0.705760293 -0.173330242 -0.876441569 2005.12 -0.715123565 -0.09849418 -0.954107338 -0.758476229 -0.185288541 -0.946393619 2006.01 -1.148375821 -0.716773114 -1.320641466 -0.998072231 -0.543134438 -1.154689417 2006.02 -1.01444789 -0.524518367 -1.177846793 -0.872051798 -0.370452674 -1.029102569 2006.03 -1.138805097 -0.895703272 -1.259912064 -1.011773716 -0.697563099 -1.142995463 2006.04 -1.134338097 -0.854586542 -1.240423025 -0.984209046 -0.57230978 -1.114030187 2006.05 -1.124787658 -0.660094952 -1.276809459 -1.006416534 -0.583122082 -1.138174585 2006.06 -1.026312936 -0.460868916 -1.219004195 -1.013264118 -0.574056173 -1.14244969 2006.07 -1.077339449 -0.347599098 -1.291406437 -1.032086843 -0.44963423 -1.186878183 2006.08 -0.905014121 -0.190263469 -1.117448839 -0.982646419 -0.469917451 -1.125476726 2006.09 -1.189589768 -0.597823901 -1.373224057 -1.117049391 -0.708170427 -1.235670871 2006.1 -1.241860236 -0.68838376 -1.395994518 -1.095312207 -0.686485953 -1.200936409 2006.11 -1.293817216 -0.772593628 -1.464878678 -1.118051671 -0.656392103 -1.255266152 2006.12 -1.261873656 -0.329520001 -1.527385975 -1.106137848 -0.505287619 -1.270071651 2007.01 -1.40049663 -0.827545815 -1.569654163 -1.183797591 -0.715864993 -1.309502705 2007.02 -1.284674424 -0.757244984 -1.439337323 -1.070444706 -0.654025618 -1.177987944 2007.03 -1.300122072 -0.772489854 -1.446061965 -1.1539714 -0.735454013 -1.254566695 2007.04 -1.231245249 -1.090726831 -1.268609716 -1.081235637 -0.958167239 -1.114115647 2007.05 -1.251650433 -0.969356448 -1.327799187 -1.111403556 -0.81798983 -1.182968234 2007.06 -0.925244126 -0.574784996 -1.018938981 -0.947379551 -0.596665172 -1.027199666 2007.07 -0.667352647 -0.516224068 -0.721161284 -0.744570396 -0.486835044 -0.80750928 2007.08 -0.075243459 -0.145290268 -0.053052942 -0.400286926 -0.491233117 -0.3808686 2007.09 -0.223232455 -0.051087339 -0.260830307 -0.482819886 -0.282739702 -0.521386563 2007.1 -0.578594415 -0.676060536 -0.548621579 -0.665257719 -0.637562995 -0.674341385 2007.11 0.4881849802 -0.241229103 0.6602428381 0.0098734827 -0.447934621 0.1050885226 2007.12 0.2448815949 -0.021780036 0.3024419892 -0.178758345 -0.22981462 -0.175970954 2008.01 0.5163483341 0.238786584 0.5940341581 0.0538533602 -0.002371456 0.0729906351 2008.02 0.3466697415 0.1426841473 0.3968543989 -0.004256974 -0.081514644 0.0137952721 2008.03 1.5318868228 0.2168093653 1.8674430915 0.9836337127 0.0465464648 1.2053865774 2008.04 0.2515151399 -0.068197026 0.3374456495 -0.006159833 -0.150738385 0.0308777189 2008.05 0.2987909255 0.1397596019 0.3560996276 0.0017463698 -0.149609425 0.0458487442 2008.06 0.7001813372 0.5673004523 0.7440453118 0.1909990078 0.0835081498 0.2270243576 2008.07 1.0046684337 0.8586717292 1.053554974 0.3726015292 0.2451980673 0.4155682036 2008.08 1.032796941 0.5775397278 1.1509031855 0.3427937827 0.1278449619 0.3968076827 2008.09 4.6581113167 2.7311458184 5.1379800649 2.8966218541 1.6841465415 3.1866898461 2008.1 5.3146367948 4.0078971443 5.6471685457 3.3305474205 2.2239041781 3.605184533 2008.11 3.7444370718 2.708752815 4.0260638234 2.3048950023 1.8987940418 2.4017862973 2008.12 3.2710662575 3.4078978853 3.2522698042 2.0865688321 2.0231587573 2.1159828439 2009.01 2.5853848471 2.7870999352 2.5516716934 1.5630644269 1.5624802955 1.5708668775 2009.02 2.6422730012 2.8518234217 2.608160341 1.4808507717 1.80398747 1.4063225082 2009.03 3.4102024942 2.8844715812 3.5532700725 2.4834121109 1.5942652534 2.6861179301 2009.04 2.3507857775 1.9902852681 2.4475606629 1.2452678666 0.973837993 1.3214118381 2009.05 2.1287432358 1.8339020261 2.20785304 1.2062078794 1.096223812 1.2404958754 2009.06 1.4944755233 1.4306266646 1.5286481487 0.6937858487 0.6297357467 0.7191329719 2009.07 1.3051769693 1.1167058982 1.3546011797 0.6889402499 0.5431538047 0.7316283729 2009.08 1.1869861369 1.1482165039 1.200399694 0.5931437515 0.4871043 0.6150026535 2009.09 0.4205771785 0.5205467781 0.3869009576 0.4223209744 0.0894746393 0.4889547276 2009.1 0.1387481719 0.6302155397 0.0389674071 -0.021071837 0.1772391313 -0.056522128 2009.11 0.1043762201 0.6399682148 -0.004901596 0.0587847541 0.3725426905 0.0023976362 2009.12 0.0315768998 0.5326954577 -0.069215966 -0.097335368 0.1016247784 -0.133895764 2010.01 -0.154593297 0.3137096728 -0.249102216 2010.02 -0.107405241 0.0262667408 -0.141264001 2010.03 -0.348818708 -0.115399464 -0.41714586 2010.04 -0.488064053 -0.202927677 -0.573270282 2010.05 0.1322052735 0.1584152781 0.1209314078 2010.06 -0.161646289 0.0938450251 -0.224150535 2010.07 -0.185397338 0.3014852735 -0.298800128 2010.08 -0.331740748 0.1756324593 -0.463305367 2010.09 -0.491035147 -0.12963658 -0.582687704 2010.1 -0.71229052 -0.384490591 -0.813290626 2010.11 -0.702066501 -0.453542291 -0.779577747 2010.12 -0.655498372 -0.331534057 -0.755286683 2011.01 -0.823936824 -0.701199994 -0.862983609 2011.02 -0.900364048 -0.875734009 -0.922551295 2011.03 -0.914985865 -0.541241283 -1.012035048 2011.04 -0.9334555 -0.829656985 -0.959911518 2011.05 -1.039347178 -0.821473155 -1.117145962 2011.06 -0.876383096 -0.838892406 -0.893556475 2011.07 -0.928651286 -0.681822516 -0.991828744 2011.08 -0.012639543 0.1482041384 -0.076923695 2011.09 -0.058317416 -0.206284177 -0.035255035 2011.1 -0.045334003 -0.30292216 0.0201479372 2011.11 0.0482894016 -0.404797756 0.147640524 2011.12 -0.066448668 -0.357666968 0.0034805894 2012.01 -0.291377295 -0.695615568 -0.198660037 2012.02 -0.512579032 -0.938993269 -0.402383895 2012.03 -0.690365683 -0.936968944 -0.640302573 2012.04 -0.756245342 -1.28835549 -0.637523779 2012.05 -0.696418762 -0.964582958 -0.642769219 2012.06 -0.655499144 -0.801646557 -0.610543883 2012.07 -0.735254288 -0.955689223 -0.702126334 2012.08 -0.834130846 -1.020963197 -0.792444916 2012.09 -0.900386595 -0.803187621 -0.938664601 2012.1 -1.068787503 -1.014198927 -1.083695237 2012.11 -0.97353041 -0.857891973 -1.008763083 2012.12 -1.029459938 -0.740036588 -1.09488509 2013.01 -1.296560897 -1.157661471 -1.334404082 2013.02 -1.217678625 -1.08896957 -1.258354255 2013.03 -1.391782989 -1.383664093 -1.395972317 2013.04 -1.519104061 -1.535713235 -1.52368838 2013.05 -1.434390177 -1.425505011 -1.438752873 2013.06 -1.003065671 -0.781185442 -1.052475275 2013.07 -1.11977333 -1.102919435 -1.126476766 2013.08 -1.105668734 -1.082843751 -1.115309172 2013.09 -1.281665207 -0.993048171 -1.34893917 2013.1 -1.475241213 -1.020343297 -1.581485132 2013.11 -1.478366094 -1.112490536 -1.56772804 2013.12 -1.461740909 -1.282161718 -1.506138519 2014.01 -1.491027848 -1.42633994 -1.510723304 2014.02 -1.495738117 -1.399024737 -1.522279713 2014.03 -1.584090011 -1.481371005 -1.612316343 2014.04 -1.535020506 -1.412776491 -1.561822459 2014.05 -1.513176657 -1.43744925 -1.538418411 2014.06 -1.584636314 -1.375148078 -1.637537654 2014.07 -1.645061703 -1.579542966 -1.662761713 2014.08 -1.505168914 -1.415556165 -1.528258725 2014.09 -1.592353799 -1.455184003 -1.622447301 2014.1 -1.646470871 -1.603896125 -1.658536503 2014.11 -1.661419297 -1.596852704 -1.677037571 2014.12 -1.477782249 -1.318353134 -1.510541839 2015.01 -1.523544371 -1.126952502 -1.597851257 2015.02 -1.567860399 -1.359158714 -1.610557725 2015.03 -1.580224068 -1.478398054 -1.599954976 2015.04 -1.47636102 -1.248829751 -1.51901592 2015.05 -1.376925914 -1.28648619 -1.402152774 2015.06 -1.389835346 -1.309482798 -1.406626316 2015.07 -1.481252496 -1.481054053 -1.484981852 2015.08 -1.429195655 -1.398833024 -1.43687091 2015.09 -1.38846326 -1.030981126 -1.448777769 2015.1 -1.447222479 -1.142707471 -1.494880544 2015.11 -1.269600351 -1.163073689 -1.28881591 2015.12 -1.209658219 -0.809187888 -1.273816912 2016.01 -1.111008865 -0.397103188 -1.223523552 2016.02 -0.832659409 -0.960555538 -0.813000362 2016.03 -1.052846555 -1.073145377 -1.052155074 2016.04 -1.311111412 -1.252609583 -1.32234449 2016.05 -1.110033014 -0.911568341 -1.142757677 2016.06 -1.258555908 -1.314265033 -1.256884649 2016.07 -1.218951978 -1.35253027 -1.208594514 2016.08 -1.329233898 -1.303318652 -1.336125365 2016.09 -1.45867721 -1.460400646 -1.45900737 2016.1 -1.535641088 -1.615289986 -1.528589245 2016.11 -1.340948696 -1.281189003 -1.346250431 2016.12 -1.448145749 -1.47331637 -1.448164338 2017.01 -1.315875912 -1.257364966 -1.32199801 2017.02 -1.446612493 -1.255980546 -1.477931401 2017.03 -1.513826321 -1.444187606 -1.531479092 2017.04 -1.548596164 -1.454959626 -1.570900404 2017.05 -1.465648132 -1.190655151 -1.50096669 2017.06 -1.42743411 -1.169290642 -1.458271153 2017.07 -1.598415835 -1.428989945 -1.622798599 2017.08 -1.570512502 -1.393828673 -1.588792491 2017.09 -1.752320055 -1.67417311 -1.762162781 2017.1 -1.571739091 -1.127707747 -1.632474405 2017.11 -1.638142441 -1.24034746 -1.691890701 2017.12 -1.492380022 -1.333450749 -1.516604392 2018.01 -1.561146023 -1.187521333 -1.609060932 2018.02 -1.404176834 -0.949939088 -1.458392142 2018.03 -1.491063775 -0.968866386 -1.551313699 2018.04 -1.452046461 -0.949795986 -1.514476759 2018.05 -1.486570454 -1.011690725 -1.53479398 2018.06 -1.492678148 -1.325221277 -1.511413851 2018.07 -1.508933284 -1.013739245 -1.566290954 2018.08 -1.548673389 -1.09913516 -1.605845136 2018.09 -1.595578638 -1.052268074 -1.657787364 2018.1 -1.645864803 -1.128103412 -1.711576253 2018.11 -1.458367565 -1.076973221 -1.502302747 2018.12 -1.50538209 -1.136118058 -1.547588542 2019.01 -1.383234788 -0.559273861 -1.4715676 2019.02 -1.482326046 -0.668950102 -1.585675786 2019.03 -1.518578895 -0.716230407 -1.609460132 2019.04 -1.572634606 -0.245974914 -1.707481042 2019.05 -1.549069862 -0.462298519 -1.66470615 2019.06 -1.689181238 -0.892877772 -1.775602701 2019.07 -1.571900976 -0.948159421 -1.639878857 2019.08 -1.514237367 -0.439961392 -1.624716362 2019.09 -1.778153372 -0.563530072 -1.896511324 2019.1 -1.778635334 -0.817909796 -1.887446398 2019.11 -1.857695195 -1.11622231 -1.939746222 2019.12 -1.800389843 -1.125461105 -1.870706525 2020.01 -1.904344361 -1.117179201 -1.999237831 2020.02 -1.856315616 -1.097858034 -1.942151077 2020.03 1.7434507668 2.3520870796 1.6783417061 2020.04 -0.788075634 0.4040714335 -0.933113193 2020.05 -1.428041441 -0.439103336 -1.541188459 2020.06 -1.488220875 -0.196963116 -1.640047062 2020.07 -1.650267716 -0.83701641 -1.748977045 2020.08 -1.698496488 -0.819428808 -1.805227407 2020.09 -1.753021735 -0.774381646 -1.871994932