IDEAS home Printed from https://ideas.repec.org/p/ucd/wpaper/202406.html
   My bibliography  Save this paper

Liquidity in the euro-area sovereign bond market during the “dash for cash” driven by the COVID-19 crisis

Author

Listed:
  • Vassilios G. Papavassilioua

    (University College Dublin and UCD Geary Institute for Public Policy)

  • Fan Dora Xiab

    (Bank for International Settlements (BIS))

Abstract

We study the liquidity of the euro-area sovereign bond market during the March 2020 dash for cash. We provide evidence that liquidity was signif- icantly impaired across the three core euro-area countries. We note that the liquidity deterioration was not as severe as that during the euro-area sovereign debt crisis. Spikes in illiquidity are reversed in the period imme- diately following the dash for cash episode. We also document strong com- monalities in liquidity that are reduced after the dash for cash. This result indicates that variation in liquidity exhibits a strong common component highlighting the systemic risk that comes as a result.

Suggested Citation

  • Vassilios G. Papavassilioua & Fan Dora Xiab, 2024. "Liquidity in the euro-area sovereign bond market during the “dash for cash” driven by the COVID-19 crisis," Working Papers 202406, Geary Institute, University College Dublin.
    • Handle: RePEc:ucd:wpaper:202406
    as

    Download full text from publisher

    File URL: http://www.ucd.ie/geary/static/publications/workingpapers/gearywp202406.pdf
    File Function: First version, 2024
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Liquidity; Sovereign bond markets; COVID-19 outbreak; Common factors;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • G01 - Financial Economics - - General - - - Financial Crises
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ucd:wpaper:202406. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Geary Tech (email available below). General contact details of provider: https://edirc.repec.org/data/geucdie.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.