Liquidity commonality in the secondary corporate loan market

John Anthony; Paul Docherty; Doowon Lee; Abul Shamsuddin

doi:10.1016/j.econlet.2017.09.016

Liquidity commonality in the secondary corporate loan market

John Anthony, Paul Docherty, Doowon Lee, Abul Shamsuddin

Banking & Finance

Research output: Contribution to journal › Article › Research › peer-review

7 Citations (Scopus)

Abstract

This study is the first to examine liquidity commonality, a measure of liquidity risk, in the U.S. secondary corporate loan market. Liquidity commonality varies substantially across market states, being completely absent during more benign market conditions. The results have implications for banking portfolio management, the pricing of liquidity risk and for regulators interested in the time-variation of liquidity risk in illiquid markets.

Original language	English
Pages (from-to)	10-14
Number of pages	5
Journal	Economics Letters
Volume	161
DOIs	https://doi.org/10.1016/j.econlet.2017.09.016
Publication status	Published - 1 Dec 2017

Keywords

Financial crisis
Liquidity
Liquidity commonality
Liquidity risk
Loan market
OTC markets

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10.1016/j.econlet.2017.09.016

Cite this

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abstract = "This study is the first to examine liquidity commonality, a measure of liquidity risk, in the U.S. secondary corporate loan market. Liquidity commonality varies substantially across market states, being completely absent during more benign market conditions. The results have implications for banking portfolio management, the pricing of liquidity risk and for regulators interested in the time-variation of liquidity risk in illiquid markets.",

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KW - Financial crisis

KW - Liquidity

KW - Liquidity commonality

KW - Liquidity risk

KW - Loan market

KW - OTC markets

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Liquidity commonality in the secondary corporate loan market

Abstract

Keywords

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