Has Liquidity Risk in the Corporate Bond Market Increased?

Tobias Adrian, Michael Fleming, Or Shachar, Daniel Stackman and Erik Vogt

No 20151006b, Liberty Street Economics from Federal Reserve Bank of New York

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 (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
Date: 2015-10-06
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Citations: View citations in EconPapers (4)

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