Discussion Paper
Corporate Bond Market Liquidity Redux: More Price-Based Evidence
Abstract: In a recent post, we presented some preliminary evidence suggesting that corporate bond market liquidity is ample. That evidence relied on bid-ask spread and price impact measures. The findings generated significant discussion, with some market participants wondering about the magnitudes of our estimates, their robustness, and whether such measures adequately capture recent changes in liquidity. In this post, we revisit these measures to more thoroughly document how they have varied over time and the importance of particular estimation approaches, trade size, trade frequency, and the dichotomy between investment-grade and high-yield bonds.
Keywords: Market liquidity; corporate bonds;
JEL Classification: G1;
Access Documents
File(s):
File format is text/html
https://libertystreeteconomics.newyorkfed.org/2016/02/corporate-bond-market-liquidity-redux-more-price-based-evidence.html
Description: Full text
Bibliographic Information
Provider: Federal Reserve Bank of New York
Part of Series: Liberty Street Economics
Publication Date: 2016-02-09
Number: 20160209