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Has Liquidity Risk in the Corporate Bond Market Increased?

Author

Listed:
  • Tobias Adrian
  • Michael J. Fleming
  • Or Shachar
  • Daniel Stackman
  • Erik Vogt

Abstract

Recent commentary suggests concern among market participants about corporate bond market liquidity. However, we showed in our previous post that liquidity in the corporate bond market remains ample. One interpretation is that liquidity risk might have increased, even as the average level of liquidity remains sanguine. In this post, we propose a measure of liquidity risk in the corporate bond market and analyze its evolution over time.

Suggested Citation

  • Tobias Adrian & Michael J. Fleming & Or Shachar & Daniel Stackman & Erik Vogt, 2015. "Has Liquidity Risk in the Corporate Bond Market Increased?," Liberty Street Economics 20151006b, Federal Reserve Bank of New York.
  • Handle: RePEc:fip:fednls:87068
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    File URL: https://libertystreeteconomics.newyorkfed.org/2015/10/has-liquidity-risk-in-the-corporate-bond-market-increased.html
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    Citations

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    Cited by:

    1. Bicu-Lieb, Andreea & Chen, Louisa & Elliott, David, 2020. "The leverage ratio and liquidity in the gilt and gilt repo markets," Journal of Financial Markets, Elsevier, vol. 48(C).
    2. Bicu, Andreea & Chen, Louisa & Elliott, David, 2017. "The leverage ratio and liquidity in the gilt and repo markets," Bank of England working papers 690, Bank of England, revised 19 Dec 2017.
    3. Carmen Broto & Matías Lamas, 2016. "Measuring market liquidity in us fixed income markets: a new synthetic indicator," Working Papers 1608, Banco de España;Working Papers Homepage.
    4. Noss, Joseph & Patel, Rupal, 2019. "Decomposing changes in the functioning of the sterling repo market," Bank of England working papers 797, Bank of England.

    More about this item

    Keywords

    volatility; liquidity;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets

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