Research Article
Basel III and the Net Stable Funding Ratio
Table 2
Bond level liquidity.
| ā | Mean | Standard deviation | ā | Noncrisis | Crisis | Noncrisis | Crisis |
| Amount issued (bln) | 0.45 | 0.54 | 0.03 | 0.06 | Coupon (%) | 6.24 | 6.23 | 0.05 | 0.05 | Maturity (yr) | 7.75 | 8.31 | 0.20 | 0.18 | Age (yr) | 4.36 | 4.76 | 0.12 | 0.14 | Volume (mln) | 1.44 | 1.53 | 0.22 | 0.32 | Trades | 4.06 | 5.33 | 0.24 | 1.31 | Trade interval (dy) | 3.38 | 3.37 | 0.49 | 0.48 | Amihud (bp per mln) | 53.21 | 89.20 | 7.42 | 35.75 | Price dispersion (bp) | 39.75 | 70.02 | 1.83 | 21.84 | Roll (bp) | 142.82 | 209.77 | 10.57 | 52.34 | Zero return (%) | 0.02 | 0.03 | 0.01 | 0.01 |
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