New insights into liquidity resiliency
研究了欧元区主权债券市场不同期限的流动性恢复力，发现基于价差和深度的恢复力与价差负相关、与深度正相关，并分析了恢复力与波动性、收益及信用违约互换价差的关系。
In this study we offer fresh insights into liquidity resiliency. We empirically study the resiliency of the euro area sovereign bond market across the maturity spectrum. We measure resiliency using a standard Ordinary Least Squares regression approach, along with the least absolute shrinkage and selection operator (LASSO) machine learning approach. We find both spread-based and depth-based resiliency are negatively correlated with spreads and positively correlated with depths. Moreover, we study the interrelationships among resiliency, volatility, returns, and credit default swap (CDS) spreads. Lastly, we document strong commonalities in resiliency for core and periphery euro area markets in both calm and turbulent periods.