Is market liquidity less resilient after the financial crisis? Evidence for us treasuries

Carmen Broto and Matías Lamas

No 1917, Working Papers from Banco de España

Abstract: We analyse the market liquidity level and resilience of US 10-year Treasury bonds. Having checked that five indicators show inconclusive results on the liquidity level, we fit a bivariate CC-GARCH model to evaluate its resilience, that is, how liquidity reacts to financial shocks. According to our results, spillovers from liquidity volatility to returns volatility and viceversa are more intense after the crisis. Further, the volatility persistence of both returns and liquidity becomes lower after the crisis. These results are consistent with the existence of more frequent short-lived episodes of high volatility and more unstable liquidity that is more prone to evaporation.

Keywords: market liquidity, volatility, US Treasuries; CC-GARCH model (search for similar items in EconPapers)
JEL-codes: C33 G24 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2019-06
New Economics Papers: this item is included in nep-fmk
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Is market liquidity less resilient after the financial crisis? Evidence for US Treasuries (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:1917

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