arbiter
JournalsAccount

A Composite Indicator of Sovereign Bond Market Liquidity in the Euro Area

Riccardo Poli & Marco Taboga

International Finance2025https://doi.org/10.1111/infi.12458article
ABDC B
Weight
0.41

Abstract

We propose a methodology to build and validate a composite indicator of the market liquidity of euro‐area sovereign bonds, with the aim of providing a comprehensive assessment of liquidity conditions in several different trading venues and countries. The composite indicator, which starts in 2010, allows us to put into historical context the liquidity deterioration observed during the Covid‐19 crisis, which was almost as severe as that experienced during the European sovereign debt crisis. While the latter impairment in liquidity conditions lasted for more than 2 years, the most recent one was quickly reabsorbed. We provide evidence that the promptness and boldness of the European Central Bank's interventions in 2020 could contribute to explain this difference: according to our indicator, the announcements of some monetary policy measures having an explicit market stabilization function were followed by significant improvements in the liquidity of sovereign bonds.

2 citations

Open via your library →

Cite this paper

https://doi.org/https://doi.org/10.1111/infi.12458

Or copy a formatted citation

@article{riccardo2025,
  title        = {{A Composite Indicator of Sovereign Bond Market Liquidity in the Euro Area}},
  author       = {Riccardo Poli & Marco Taboga},
  journal      = {International Finance},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1111/infi.12458},
}

Paste directly into BibTeX, Zotero, or your reference manager.

Flag this paper

A Composite Indicator of Sovereign Bond Market Liquidity in the Euro Area

Flags are reviewed by the Arbiter methodology team within 5 business days.

Evidence weight

0.41

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.25 × 0.4 = 0.10
M · momentum0.55 × 0.15 = 0.08
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.