TY  - UNPD
A1  - Schneider, Michael
A1  - Lillo, Fabrizio
A1  - Pelizzon, Loriana
T1  - How has sovereign bond market liquidity changed? : an illiquidity spillover analysis
T2  - SAFE working paper series ; No. 151
N2  - Amid increasing regulation, structural changes of the market and Quantitative Easing as well as extremely low yields, concerns about the market liquidity of the Eurozone sovereign debt markets have been raised. We aim to quantify illiquidity risks, especially such related to liquidity dry-ups, and illiquidity spillover across maturities by examining the reaction to illiquidity shocks at high frequencies in two ways:
a) the regular response to shocks using a variance decomposition and,
b) the response to shocks in the extremes by detecting illiquidity shocks and modeling those as ultivariate Hawkes processes.
We find that:
a) market liquidity is more fragile and less predictable when an asset is very illiquid and,
b) the response to shocks in the extremes is structurally different from the regular response.
In 2015 long-term bonds are less liquid and the medium-term bonds are liquid, although we observe that in the extremes the medium-term bonds are increasingly driven by illiquidity spillover from the long-term titles.
T3  - SAFE working paper - 151 
Y1  - 2016
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/41703
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-417031
UR  - https://ssrn.com/abstract=2853459
IS  - September 28, 2016
PB  - SAFE
CY  - Frankfurt am Main
ER  -