کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7355437 1477786 2018 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Benchmarking liquidity proxies: The case of EU sovereign bonds
ترجمه فارسی عنوان
معیارهای نقدینگی پروکسی: مورد اوراق قرضه مستقل اتحادیه اروپا
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
We examine effective measures of liquidity in the context of EU sovereign bonds and the Basel III regulatory framework. We observe that the empirical correlations between benchmarks and proxies are typically very low and in general become weaker as the frequency over which these relationships are examined becomes higher, and that the relative strength of the various proxies may change with the frequency considered. The main implications of our results for the EU sovereign bond market are (i) the use of liquidity proxies may lead to erroneous conclusions; (ii) any liquidity measure needs to be assessed against the relevant timeframe for conversion into cash; and (iii) the end-of-day spread is the best performing proxy across different frequencies.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Economics & Finance - Volume 56, July 2018, Pages 321-329
نویسندگان
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