Illiquidity, concentrated bond holding raise volatility – paper
Financial market illiquidity and concentrated holdings of bonds aggravate price volatility in periods of stress, a paper published by The Netherlands Bank argues.
In A shock to the system? Market illiquidity and concentrated holdings in European bond markets, Sophie Steins Bisschop, Martijn Boermans and Jon Frost analyse recent periods of financial market volatility.
They use the "new and unique" securities holding statistics sectoral database compiled by the European Central Bank, as well as
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