Has Liquidity Risk in the Corporate Bond Market Increased?

Adrian, Tobias; Fleming, Michael J.; Shachar, Or; Stackman, Daniel; Vogt, Erik

Discussion Paper

Has Liquidity Risk in the Corporate Bond Market Increased?

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.

Keywords: volatility; liquidity;

JEL Classification: G1;