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Further Analysis of Corporate Bond Market Liquidity
Our earlier analyses from last October and earlier in this series looked at market liquidity measures averaged across all corporate bonds or broad sub-groups of corporate bonds. Commentators have pointed out that such broad averages might mask important differences among narrower sub-groups of bonds and that relatively illiquid bonds, in particular, have suffered the largest reductions in liquidity. In this post, we consider these arguments by examining how corporate bond market liquidity has changed over time depending on the size and credit rating of the issue. Empirical Approach Our empirical approach is to ... (full story)