Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/210722
Authors: 
Boyarchenko, Nina
Giannone, Domenico
Shachar, Or
Year of Publication: 
2018
Series/Report no.: 
Staff Report No. 870
Abstract: 
We study the conditional distribution of future liquidity in the secondary market for corporate bonds as a function of current liquidity. Increases in liquidity are persistent for investment-grade bonds and flighty for high-yield bonds. Greater liquidity of high-yield bonds is associated with lower uncertainty about future liquidity of investment-grade bonds, but greater liquidity of investment-grade bonds is associated with greater uncertainty about future liquidity of high-yield bonds. Finally, we show that measures of market-wide volatility and market-maker constraints do not contain information useful for predicting the distribution of future liquidity over and above that contained in the recent history of bid-ask spreads.
Subjects: 
corporate bond liquidity
liquidity uncertainty
quantile regressions
JEL: 
C22
G12
G17
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.