Corporate Bond Market Liquidity Redux: More Price-Based Evidence

Tobias Adrian, Michael Fleming, Erik Vogt and Zachary Wojtowicz

No 20160209, Liberty Street Economics from Federal Reserve Bank of New York

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 (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
Date: 2016-02-09
New Economics Papers: this item is included in nep-mst
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