Researchers propose new measure for US fixed-income market liquidity
Authors say it is the first index to apply financial stress indicator methodologies to both US government and corporate debt securities
Researchers have presented a new synthetic measure for liquidity in both sovereign and corporate fixed-income securities markets in the US.
Carmen Broto and Matías Lamas set out their model in Measuring market liquidity in US fixed income markets: a new synthetic indicator, a working paper published recently by the Bank of Spain.
The authors use data from 17 variables, which they say give a broad measure of liquidity in fixed-income markets. They transform the variables, building on the
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