Impact of the Covid-19 on liquidity of emerging market bonds

Detalhes bibliográficos
Autor(a) principal: Gubareva, Mariya
Data de Publicação: 2020
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.21/12294
Resumo: ISCAL Working Papers Series
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spelling Impact of the Covid-19 on liquidity of emerging market bondsCOVID-19 pandemicLiquidityEmerging marketsFixed-incomeBid/offer spreadOption-adjusted spread (OAS)ISCAL Working Papers SeriesWe 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.RCIPLGubareva, Mariya2020-10-26T17:56:47Z20202020-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.21/12294eng2184-3325info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-08-03T10:04:55Zoai:repositorio.ipl.pt:10400.21/12294Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T20:20:24.646688Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Impact of the Covid-19 on liquidity of emerging market bonds
title Impact of the Covid-19 on liquidity of emerging market bonds
spellingShingle Impact of the Covid-19 on liquidity of emerging market bonds
Gubareva, Mariya
COVID-19 pandemic
Liquidity
Emerging markets
Fixed-income
Bid/offer spread
Option-adjusted spread (OAS)
title_short Impact of the Covid-19 on liquidity of emerging market bonds
title_full Impact of the Covid-19 on liquidity of emerging market bonds
title_fullStr Impact of the Covid-19 on liquidity of emerging market bonds
title_full_unstemmed Impact of the Covid-19 on liquidity of emerging market bonds
title_sort Impact of the Covid-19 on liquidity of emerging market bonds
author Gubareva, Mariya
author_facet Gubareva, Mariya
author_role author
dc.contributor.none.fl_str_mv RCIPL
dc.contributor.author.fl_str_mv Gubareva, Mariya
dc.subject.por.fl_str_mv COVID-19 pandemic
Liquidity
Emerging markets
Fixed-income
Bid/offer spread
Option-adjusted spread (OAS)
topic COVID-19 pandemic
Liquidity
Emerging markets
Fixed-income
Bid/offer spread
Option-adjusted spread (OAS)
description ISCAL Working Papers Series
publishDate 2020
dc.date.none.fl_str_mv 2020-10-26T17:56:47Z
2020
2020-01-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.21/12294
url http://hdl.handle.net/10400.21/12294
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 2184-3325
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
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