- Title
- Liquidity commonality in the secondary corporate loan market
- Creator
- Anthony, John; Docherty, Paul; Lee, Doowon; Shamsuddin, Abul
- Relation
- Economics Letters Vol. 161, Issue December 2017, p. 10-14
- Publisher Link
- http://dx.doi.org/10.1016/j.econlet.2017.09.016
- Publisher
- Elsevier
- Resource Type
- journal article
- Date
- 2017
- Description
- 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.
- Subject
- liquidity; liquidity commonality; liquidity risk; financial crisis; OTC markets; loan market
- Identifier
- http://hdl.handle.net/1959.13/1349690
- Identifier
- uon:30429
- Identifier
- ISSN:0165-1765
- Language
- eng
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