Bank of Spain paper examines post-crisis US bond markets
Volatility is less persistent but more frequent than before global financial crisis, researchers find
Volatility in US bond markets became more frequent but less persistent, while liquidity fell, a working paper published by the Bank of Spain finds.
In Is market liquidity less resilient after the financial crisis? Evidence for US Treasuries, Carmen Broto and Matías Lamas analyse the market liquidity level and resilience of US 10-year Treasury bonds.
They find five indicators show only inconclusive evidence about the bonds’ liquidity. The authors then attempt to evaluate their resilience to
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