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ESRB Market Liquidity of IRS by Panos Gevros is a document available to read on EtoBox.

This paper analyzes market liquidity in interest rate swaps (IRS) during the global monetary policy tightening, highlighting the significance of IRS as the largest derivatives segment. It utilizes data from approximately 338,000 trades to construct liquidity measures and identifies key drivers such as monetary policy, market-wide liquidity, and dealer behavior. The findings reveal that liquidity is affected by various factors including price dispersion around monetary policy events and the relationship betw

Author

Panos Gevros

Language

EN