Publication
Impact of the Covid-19 on liquidity of emerging market bonds
| dc.contributor.author | Gubareva, Mariya | |
| dc.date.accessioned | 2020-10-26T17:56:47Z | |
| dc.date.available | 2020-10-26T17:56:47Z | |
| dc.date.issued | 2020 | |
| dc.description | ISCAL Working Papers Series | pt_PT |
| dc.description.abstract | We analyze liquidity of the emerging market (EM) bonds during the Covid-19 fueled uncertainty. Using bid/offer spreads we demonstrate that the apogee of both, liquidity and credit stresses is reached in late-March, and that although liquidity has improved since then, it has not yet returned to the pre-Covid levels. In particular, we find that the EM financials are more resilient to liquidity shocks than the EM corporates and sovereigns. Moreover, we observe a decoupling in the dynamics of the liquidity and credit risk metrics, as credit spreads have been tightening very slowly due to the Covid-19-triggered repricing of default risk. | pt_PT |
| dc.description.version | info:eu-repo/semantics/publishedVersion | pt_PT |
| dc.identifier.issn | 2184-3325 | |
| dc.identifier.uri | http://hdl.handle.net/10400.21/12294 | |
| dc.language.iso | eng | pt_PT |
| dc.peerreviewed | yes | pt_PT |
| dc.relation.ispartofseries | WP;01/2020 | |
| dc.subject | COVID-19 pandemic | pt_PT |
| dc.subject | Liquidity | pt_PT |
| dc.subject | Emerging markets | pt_PT |
| dc.subject | Fixed-income | pt_PT |
| dc.subject | Bid/offer spread | pt_PT |
| dc.subject | Option-adjusted spread (OAS) | pt_PT |
| dc.title | Impact of the Covid-19 on liquidity of emerging market bonds | pt_PT |
| dc.type | working paper | |
| dspace.entity.type | Publication | |
| oaire.citation.conferencePlace | ISCAL | pt_PT |
| oaire.citation.title | ISCAL Working Papers Series | pt_PT |
| person.familyName | Gubareva | |
| person.givenName | Mariya | |
| person.identifier.ciencia-id | 311F-E7AA-AAAA | |
| person.identifier.orcid | 0000-0001-6829-7021 | |
| person.identifier.rid | Y-8520-2018 | |
| person.identifier.scopus-author-id | 56850438400 | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | workingPaper | pt_PT |
| relation.isAuthorOfPublication | d6c8e85f-b262-4905-9380-4469f62011ed | |
| relation.isAuthorOfPublication.latestForDiscovery | d6c8e85f-b262-4905-9380-4469f62011ed |
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