Abstract
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 |
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Lingua originale | Italian |
pagine (da-a) | 22-36 |
Numero di pagine | 15 |
Rivista | BANCARIA |
Volume | 2013 |
Stato di pubblicazione | Pubblicato - 2013 |
Keywords
- Basilea 3
- rischio di liquidità