Broto Carmen, Lamas Matías
Banco de España, Spain.
Econ Model. 2020 Dec;93:217-229. doi: 10.1016/j.econmod.2020.08.001. Epub 2020 Aug 28.
Understanding market liquidity resilience, i.e. the capacity of liquidity to absorb shocks, of United States Treasuries is crucial from a financial stability standpoint. The conventional resilience measure has limitations due to the use of the liquidity level. We propose a new complementary approach to analyze resilience based on liquidity volatility. For this purpose, we focus on the link between returns volatility and liquidity volatility, which is a relatively unexplored field. We fit a bivariate conditional correlation (CC-) GARCH model for the 10-year bond returns and five liquidity indicators from January 2003 to June 2016 to analyze persistence and spillovers between these variables in a parsimonious way. We find that after the crisis, spillovers between liquidity volatility and returns volatility are higher, feedback loops are more likely and volatility persistence is lower, which is consistent with a lower resilience. Our results help to explain recent episodes of high volatility in this market.
从金融稳定的角度来看，了解美国国债市场的流动性弹性，即流动性吸收冲击的能力至关重要。由于使用了流动性水平，传统的弹性衡量方法存在局限性。我们提出了一种基于流动性波动来分析弹性的新的补充方法。为此，我们关注收益波动与流动性波动之间的联系，这是一个相对未被探索的领域。我们对2003年1月至2016年6月期间的10年期债券收益和五个流动性指标拟合了一个二元条件相关（CC-）GARCH模型，以简洁的方式分析这些变量之间的持续性和溢出效应。我们发现，危机后，流动性波动与收益波动之间的溢出效应更高，反馈回路更有可能出现且波动持续性更低，这与较低的弹性一致。我们的结果有助于解释该市场近期的高波动事件。
