市场流动性
波动性(金融)
债券
流动性危机
流动性风险
货币经济学
休克(循环)
信用风险
经济
业务
金融经济学
金融体系
财务
医学
内科学
标识
DOI:10.1016/j.frl.2023.104560
摘要
This study adopts the funding liquidity-market liquidity model developed by Brunnermeier and Pedersen (2009) to investigate the relationship between funding liquidity risk and the volatility of U.S. municipal green bonds during the COVID-19 crisis, while also accounting for other potential risk factors. We observe that during high levels of municipal green bond volatility, the effect of funding liquidity risk on volatility is more pronounced than during periods of low municipal green bond volatility. Moreover, the response of municipal green bond volatility to a shock in the funding liquidity risk is stronger compared to a shock in other risk factors.
科研通智能强力驱动
Strongly Powered by AbleSci AI