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Basel 3 and the liquidity of corporate and government bonds in Europe

Author

Listed:
  • Giovanni Petrella

    (Università Cattolica del Sacro Cuore, Milano)

  • Andrea Resti

    (Università Bocconi, Milano)

Abstract

We perform an empirical analysis to identify the main factors driving the liquidity of corporate and government bonds both in ordinary times and in times of market turmoil. Our findings highlight the importance of credit ratings, amount issued and bond duration as factors affecting bond liquidity.We conclude that the lack of concentration limits for domestic government bonds, coupled with the absence of a minimum rating threshold, may strongly reduce the effectiveness of the liquidity coverage ratio

Suggested Citation

  • Giovanni Petrella & Andrea Resti, 2013. "Basel 3 and the liquidity of corporate and government bonds in Europe," BANCARIA, Bancaria Editrice, vol. 3, pages 22-36, March.
    • Handle: RePEc:ban:bancar:v:3:y:2013:m:march:p:22-36
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    File URL: http://www.bancaria.it/en/basel-3-and-the-liquidity-of-corporate-and-government-bonds-in-europe
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    More about this item

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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