Skip to content
Logo Bancaria Orizzontale

Basel 3 and the liquidity of corporate and government bonds in Europe

Basel 3 and the liquidity of corporate and government bonds in Europe

We perform an empirical analysis to identify the main factors driving the liquidity of corporate and government bonds both in ordinary times and in times of market turmoil. Our findings highlight the importance of credit ratings, amount issued and bond duration as factors affecting bond liquidity.We conclude that the lack of concentration limits for domestic government bonds, coupled with the absence of a minimum rating threshold, may strongly reduce the effectiveness of the liquidity coverage ratio