Liquidity risk and CMBX microstructure

IF 1.2 Q3 BUSINESS, FINANCE

Review of Financial Economics Pub Date : 2024-01-25 DOI:10.1002/rfe.1193

Andreas D. Christopoulos, Joshua G. Barratt

引用次数: 0

Abstract

This is the first paper in the literature to focus on CMBX price formation with dual techniques of liquidity estimation. In this paper, we introduce a generalizable method using principal component analysis to estimate daily risk decompositions of default, interest rate, liquidity and excess liquidity from previously simulated reduced form monthly risk decompositions. Our method generates these measures for CMBX. To assess liquidity estimates, we compare our risk decomposition measures of liquidity to classical microstructure effective bid–ask spreads, daily. We find our measures to be significant in explaining effective bid–ask spreads over 12 years of daily history and in 20-day forecasts.

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流动性风险和 CMBX 微观结构

这是文献中第一篇利用流动性估算的双重技术关注 CMBX 价格形成的论文。在本文中，我们介绍了一种可通用的方法，利用主成分分析法从先前模拟的还原形式月度风险分解中估算违约、利率、流动性和过剩流动性的每日风险分解。我们的方法为 CMBX 生成了这些指标。为了评估流动性估计值，我们将流动性的风险分解指标与经典微观结构的每日有效买卖价差进行了比较。我们发现，在解释 12 年的每日历史和 20 天预测中的有效买入-卖出价差方面，我们的方法具有重要意义。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Financial Economics BUSINESS, FINANCE-

CiteScore

2.80

自引率

0.00%

发文量

期刊介绍： The scope of the Review of Financial Economics (RFE) is broad. The RFE publishes original research in finance (e.g. corporate finance, investments, financial institutions and international finance) and economics (e.g. monetary theory, fiscal policy, and international economics). It specifically encourages submissions that apply economic principles to financial decision making. For example, while RFE will publish papers which study the behavior of security prices and those which provide analyses of monetary and fiscal policies, it will offer a special forum for articles which examine the impact of macroeconomic factors on the behavior of security prices.