Sovereign credit risk, liquidity, and European Central Bank intervention: Deus ex machina?

被引：56

作者：

Pelizzon, Loriana ^{[1
,2
]}

Subrahmanyam, Marti G. ^{[3
]}

Tomio, Davide ^{[4
]}

Uno, Jun ^{[2
,5
]}

机构：

[1] Goethe Univ Frankfurt, SAFE Ctr, Theodor W Adorno Pl 3, D-60323 Frankfurt, Germany

[2] Ca Foscari Univ Venice, Dept Econ, Fondamenta San Giobbe 873, I-30121 Venice, Italy

[3] NYU, Leonard N Stern Sch Business, 44 West 4th St, New York, NY 10012 USA

[4] Copenhagen Business Sch, Solbjerg Plads 3, DK-2000 Frederiksberg, Denmark

[5] Waseda Univ, Chuo Ku, 1-4-1 Nihombashi, Tokyo 1030027, Japan

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2016年 / 122卷 / 01期

基金：

新加坡国家研究基金会;

关键词：

Liquidity; Credit risk; Eurozone sovereign bonds; Financial crisis; MTS bond market; NUISANCE PARAMETER; CONTINGENT CLAIMS; STRUCTURAL-CHANGE; BOND; MARKET; TESTS;

D O I：

10.1016/j.jfineco.2016.06.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine the dynamic relation between credit risk and liquidity in the Italian sovereign bond market during the eurozone crisis and the subsequent European Central Bank (ECB) interventions. Credit risk drives the liquidity of the market. A 10% change in the credit default swap (CDS) spread leads to a 13% change in the bid-ask spread, the relation being stronger when the CDS spread exceeds 500 basis points. The Long-Term Refinancing Operations of the ECB weakened the sensitivity of market makers' liquidity provision to credit risk, highlighting the importance of funding liquidity measures as determinants of market liquidity. (C) 2016 Published by Elsevier B.V.

引用

页码：86 / 115

页数：30

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