We perform an empirical analysis to identify the main factors driving the liquidity of corporate and government bonds both in ordinary times and in times of market turmoil. Our findings highlight the importance of credit ratings, amount issued and bond duration as factors affecting bond liquidity.We conclude that the lack of concentration limits for domestic government bonds, coupled with the absence of a minimum rating threshold, may strongly reduce the effectiveness of the liquidity coverage ratio.
|Titolo tradotto del contributo||[Autom. eng. transl.] Basel 3 and the liquidity of government and private bonds in Europe|
|Numero di pagine||15|
|Stato di pubblicazione||Pubblicato - 2013|
- Basilea 3
- rischio di liquidità