Funding Liquidity, Market Liquidity and TED Spread

Boudt, K., Paulus, E. C. S., & Rosenthal, D. W. R. (2017). Funding Liquidity, Market Liquidity and TED Spread: A Two-Regime Model. Journal of Empirical Finance, 143-158.

Type

Journal article

Intellectual base

Primary research

Year

2017

DOI

10.1016/j.jempfin.2017.06.002

Link

https://doi.org/10.1016/j.jempfin.2017.06.002

Cited by

1 citation across 1 artifact.

Domain-specific

• TED Spread
  • Boudt, Paulus, and Rosenthal use TED to separate stress regimes while studying interactions between market and funding liquidity; that application does not prove TED uniquely identifies either one.

Verification

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