{"title":"COVID-19危机引发的“现金抢购”期间欧元区主权债券市场的流动性","authors":"Vassilios G. Papavassiliou , Fan Dora Xia","doi":"10.1016/j.econlet.2024.112151","DOIUrl":null,"url":null,"abstract":"<div><div>We study the liquidity of the euro area sovereign bond market during the March 2020 dash for cash. We provide evidence that liquidity was significantly 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 immediately following the dash for cash episode. We also document strong commonalities in liquidity that are reduced after the dash for cash. This finding indicates that variation in liquidity exhibits a strong common component highlighting the systemic risk that comes as a result.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"247 ","pages":"Article 112151"},"PeriodicalIF":1.8000,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Liquidity in the euro area sovereign bond market during the “dash for cash” driven by the COVID-19 crisis\",\"authors\":\"Vassilios G. Papavassiliou , Fan Dora Xia\",\"doi\":\"10.1016/j.econlet.2024.112151\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>We study the liquidity of the euro area sovereign bond market during the March 2020 dash for cash. We provide evidence that liquidity was significantly 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 immediately following the dash for cash episode. We also document strong commonalities in liquidity that are reduced after the dash for cash. This finding indicates that variation in liquidity exhibits a strong common component highlighting the systemic risk that comes as a result.</div></div>\",\"PeriodicalId\":11468,\"journal\":{\"name\":\"Economics Letters\",\"volume\":\"247 \",\"pages\":\"Article 112151\"},\"PeriodicalIF\":1.8000,\"publicationDate\":\"2025-02-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Economics Letters\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S0165176524006359\",\"RegionNum\":4,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Economics Letters","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0165176524006359","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
Liquidity in the euro area sovereign bond market during the “dash for cash” driven by the COVID-19 crisis
We study the liquidity of the euro area sovereign bond market during the March 2020 dash for cash. We provide evidence that liquidity was significantly 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 immediately following the dash for cash episode. We also document strong commonalities in liquidity that are reduced after the dash for cash. This finding indicates that variation in liquidity exhibits a strong common component highlighting the systemic risk that comes as a result.
期刊介绍：
Many economists today are concerned by the proliferation of journals and the concomitant labyrinth of research to be conquered in order to reach the specific information they require. To combat this tendency, Economics Letters has been conceived and designed outside the realm of the traditional economics journal. As a Letters Journal, it consists of concise communications (letters) that provide a means of rapid and efficient dissemination of new results, models and methods in all fields of economic research.
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