Measuring market liquidity in US fixed income markets: A new synthetic indicator
| Autor: | Carmen Broto, Matías Lamas |
|---|---|
| Rok vydání: | 2016 |
| Předmět: |
Economics and Econometrics
050208 finance Index (economics) Corporate debt Financial economics 05 social sciences Liquidity crisis Monetary economics Liquidity risk Liquidity premium Market liquidity Treasury Fixed income Carry (investment) 0502 economics and business Financial crisis Economics Business 050207 economics Market impact Accounting liquidity Finance |
| Zdroj: | The Spanish Review of Financial Economics. 14:15-22 |
| ISSN: | 2173-1268 |
| DOI: | 10.1016/j.srfe.2016.01.001 |
| Popis: | We propose a new synthetic liquidity indicator that summarizes the information of a broad set of market liquidity measures for both sovereign and corporate fixed income markets in the US. Our index is based on seventeen liquidity measures that cover the main dimensions of market liquidity. The methodology to compute the index consists of two steps. First, we carry out a transformation of the individual liquidity measures based on that of Hollo et al. (2012) for the CISS—Composite Indicator of Systemic Stress—and second, we weight the transformed variables using a principal component analysis. The indicator shows that liquidity in US fixed income markets has been impaired after the global financial crisis mainly as a result of weaker liquidity conditions in US Treasury markets, whereas those in the corporate debt market remained stable. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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