New insights into liquidity resiliency

O’Sullivan, Conall, Vassilios Papavassiliou, Ronald Wafula and Sabri Boubaker

Journal of International Financial Markets, Institutions and Money, 2024, vol. 90, issue C

Abstract: In this study we offer fresh insights into liquidity resiliency. We empirically study the resiliency of the euro area sovereign bond market across the maturity spectrum. We measure resiliency using a standard Ordinary Least Squares regression approach, along with the least absolute shrinkage and selection operator (LASSO) machine learning approach. We find both spread-based and depth-based resiliency are negatively correlated with spreads and positively correlated with depths. Moreover, we study the interrelationships among resiliency, volatility, returns, and credit default swap (CDS) spreads. Lastly, we document strong commonalities in resiliency for core and periphery euro area markets in both calm and turbulent periods.

Keywords: Resiliency; Liquidity; Sovereign bond markets; LASSO; High-frequency data; Market microstructure (search for similar items in EconPapers)
JEL-codes: C5 G01 G10 G15 (search for similar items in EconPapers)
Date: 2024
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Working Paper: New Insights into Liquidity Resiliency (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001609

DOI: 10.1016/j.intfin.2023.101892

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