Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5100267 | Journal of Empirical Finance | 2017 | 16 Pages |
Abstract
We study the effect of market liquidity on equity-collateralized funding, accounting for endogeneity. Theory suggests market liquidity can affect funding liquidity in stabilizing and destabilizing manners. Using a new proxy for equity-collateralized funding liquidity of S&P 500 stocks over the period of July 2006-May 2011, we show that we can separate the two regimes using the yield spread of Eurodollars over T-bills (TED spread) and that a regime switch occurs near a TED spread of 48 basis points.
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Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Kris Boudt, Ellen C.S. Paulus, Dale W.R. Rosenthal,