Liquidity measures throughout the lifetime of the US Treasury bond

被引：18

作者：

Diaz, Antonio ^{[1
]}

Escribano, Ana ^{[1
]}

机构：

[1] Univ Castilla La Mancha, Fac C Econ & Empresari, Dept Econ & Finance, Plaza Univ 1, Albacete 02071, Spain

来源：

JOURNAL OF FINANCIAL MARKETS | 2017年 / 33卷

关键词：

Liquidity; Fixed income; Pricing; Life cycle; Government bonds; CORPORATE YIELD SPREADS; MARKET; RISK; RETURNS;

D O I：

10.1016/j.finmar.2017.01.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine the price impact of different components of liquidity throughout the lifetime of the U.S. Treasury bond. Using the GovPX dataset, we provide a comprehensive empirical analysis of the impact of several liquidity proxies on the relative liquidity premium of these securities. The findings show that the liquidity premium has a deterministic main age-based component. This aging effect extends beyond the simple on-the-run/off-the-run effect. There is also a stochastic component of the liquidity premium that depends on the unexpected value of microstructure-based liquidity proxies and the current market and bond-level conditions. (C) 2017 Elsevier B.V. All rights reserved.

引用

页码：42 / 74

页数：33

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