Work

Commonality in liquidity resiliency and its determinants: Evidence from the euro area sovereign bond market

Year: 2026

Type: article

Abstract: This study is the first to examine the determinants of commonality in liquidity resiliency (CLR). We use a high-frequency dataset from the MTS sovereign bond markets focusing on the euro area sovereign debt crisis period. Our findings are consistent with the predictions of supply-side explanations related to funding liquidity constraints, particularly in the context of financially distressed peripheral countries during the crisis period. We further demonstrate that the results of earlier studies using conventional spread and depth liquidity measures also apply to resiliency, suggesting that CLR is, on average, influenced by the same demand- and supply-side factors. Our findings offer valuable insights for policymakers, regulators, and investors, aiding them in more effectively monitoring financial stability and making informed investment decisions.

Source: Journal of International Financial Markets Institutions and Money

DOI: 10.1016/j.intfin.2026.102360

Authors: Conall O’Sullivan, Vassilios G. Papavassiliou, Ronald Wekesa Wafula

Institution: University College Dublin

Language: English

Topic: Credit Risk and Financial Regulations

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $2,930

Funder: University College Dublin