MARC Record from Scriblio

LEADER: 02627cam 22003137a 4500
001 2005616503
003 DLC
005 20050218111528.0
007 cr |||||||||||
008 050210s1999 nyu sb f000 0 eng
010 $a 2005616503
040 $aDLC$cDLC
050 00 $aHB1
100 1 $aChakravarty, Sugato,$d1961-
245 10 $aLiquidity in U.S. fixed income markets$h[electronic resource] :$ba comparison of the bid-ask spread in corporate, government and municipal bond markets /$cSugato Chakravarty and Asani Sarkar.
260 $a[New York, N.Y.] :$bFederal Reserve Bank of New York,$c[1999]
490 1 $aStaff reports ;$vno. 73
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 2/10/2005.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"We examine the determinants of the realized bid-ask spread in the U.S. corporate, municipal and government bond markets for the years 1995 to 1997, based on newly available transactions data. Overall, we find that liquidity is an important determinant of the realized bid-ask spread in all three markets. Specifically, in all markets, the realized bid-ask spread decreases in the trading volume. Additionally, risk factors are important in the corporate and municipal markets. In these markets, the bid-ask spread increases in the remaining-time-to maturity of a bond. The corporate bond spread also increases in credit risk and the age of a bond. The municipal bond spread increases in the after-tax bond yield. Controlling for others factors, the municipal bond spread is higher than the government bond spread by about 9 cents per $100 par value, but the corporate bond spread is not. Consistent with improved pricing transparency, the bid-ask spread in the corporate and municipal bond markets is lower in 1997 by about 7 to 11 cents per $100 par value, relative to the earlier years. Finally, the ten largest corporate bond dealers earn 15 cents per $100 par value higher than the remaining dealers, after controlling for differences in the characteristics of bonds traded by each group. We find no such differences for the government and municipal bond dealers"--Federal Reserve Bank of New York web site.
650 0 $aBonds$xPrices.
650 0 $aLiquidity (Economics)
700 1 $aSarkar, Asani.
710 2 $aFederal Reserve Bank of New York.
830 0 $aStaff reports (Federal Reserve Bank of New York : Online) ;$vno. 73.
856 40 $uhttp://www.ny.frb.org/research/staff_reports/sr73.html