We disentangle asset-specific, market, and funding liquidity in the CDS-Bond basis outside and during the 07/09 Global Financial Crisis Our findings stress the importance of separating different types of liquidity, since all three measures have independently negative impacts on the basis Funding liquidity emerges as the economically most important liquidity metric While asset-specific liquidity is cross-correlated in both the cash and derivative markets, funding and market liquidity only matter for the cash market We exploit the decomposition of the basis to test predictions of limits-to-arbitrage theories We find strong evidence in favor of margin-based asset pricing and flight-to-quality effects This article is protected by copyright All rights reserved

中文翻译：

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CDS-Bond 基础中的流动性类型和套利限制理论的梳理

我们在 07/09 全球金融危机之外和期间在 CDS-Bond 基础上分离了特定资产、市场和融资流动性 我们的研究结果强调了分离不同类型流动性的重要性，因为所有三种措施都对基础产生了独立的负面影响资金流动性成为经济上最重要的流动性指标 虽然特定资产的流动性在现金和衍生品市场都是相互关联的，但资金和市场流动性只对现金市场重要 我们利用基础的分解来测试限制的预测——套利理论 我们发现强有力的证据支持基于保证金的资产定价和逃逸质量效应 本文受版权保护 版权所有