Measuring and Analyzing Liquidity and Volatility Dynamics in the Euro-Area Government Bond Market

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Title: Measuring and Analyzing Liquidity and Volatility Dynamics in the Euro-Area Government Bond Market
Authors: O'Sullivan, Conall
Papavassiliou, Vassilios G.
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Date: Sep-2018
Abstract: This chapter examines the impact the European sovereign debt market crisis had on liquidity and volatility dynamics and their interdependencies in the eurozone government bond market. In particular, we examine the impact across different countries and across different maturity buckets within individual countries. A comprehensive high-frequency dataset from MTS, Europe's premier electronic fixed-income trading market, is employed to construct a variety of microstructure liquidity and volatility measures. We analyze important trends in these measures over both tranquil and crisis periods. Additionally, we study time-varying correlations as well as the intertemporal interactions of liquidity proxies with volatility and returns. Our findings provide useful insights to regulators and policy makers on the relative strengths and weaknesses of domestic and global financial systems.
Type of material: Book Chapter
Publisher: World Scientific Publishing
Copyright (published version): 2018 World Scientific Publishing
Keywords: Eurozone crisisFinancial contagionLiquidity-volatility spilloversBond markets
DOI: 10.1142/10893
Language: en
Status of Item: Peer reviewed
Is part of: Boubaker, S. Nguyen, D.K. (eds.). Handbook of Global Financial Markets: Transformations, Dependence, and Risk Spillovers
ISBN: 978-981-3236-64-6
Appears in Collections:Business Research Collection
UCD RePEc Archive Collection

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